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Szimayer, Alexander

Author ID: szimayer.alexander Recent zbMATH articles by "Szimayer, Alexander"
Published as: Szimayer, Alexander
Documents Indexed: 13 Publications since 2003, including 1 Additional arXiv Preprint
Reviewing Activity: 4 Reviews
Co-Authors: 13 Co-Authors with 12 Joint Publications
202 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

11 Publications have been cited 102 times in 94 Documents Cited by Year
Elliptical copulas: Applicability and limitations. Zbl 1116.62352
Frahm, Gabriel; Junker, Markus; Szimayer, Alexander
43
2003
Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing. Zbl 1370.60088
Buchmann, Boris; Kaehler, Benjamin; Maller, Ross; Szimayer, Alexander
13
2017
The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts. Zbl 1228.91041
Li, Jing; Szimayer, Alexander
11
2011
A parsimonious multi-asset Heston model: calibration and derivative pricing. Zbl 1233.91263
Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander
10
2011
The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees. Zbl 1294.91079
Li, Jing; Szimayer, Alexander
7
2014
Testing for mean reversion in processes of Ornstein-Uhlenbeck type. Zbl 1056.62090
Szimayer, A.; Maller, R.
6
2004
Marginal consistent dependence modelling using weak subordination for Brownian motions. Zbl 1407.62390
Michaelsen, Markus; Szimayer, Alexander
6
2018
The COGARCH: a review, with news on option pricing and statistical inference. Zbl 1493.62585
Klüppelberg, Claudia; Maller, Ross; Szimayer, Alexander
5
2011
A reduced form model for ESO valuation. Modelling the effects of employee departure and takeovers on the value of employee share options. Zbl 1083.91058
Szimayer, Alexander
3
2004
Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model. Zbl 1403.91201
Uzelac, Filip; Szimayer, Alexander
2
2014
Own-company stockholding and work effort preferences of an unconstrained executive. Zbl 1202.93170
Desmettre, Sascha; Gould, John; Szimayer, Alexander
2
2010
Marginal consistent dependence modelling using weak subordination for Brownian motions. Zbl 1407.62390
Michaelsen, Markus; Szimayer, Alexander
6
2018
Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing. Zbl 1370.60088
Buchmann, Boris; Kaehler, Benjamin; Maller, Ross; Szimayer, Alexander
13
2017
The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees. Zbl 1294.91079
Li, Jing; Szimayer, Alexander
7
2014
Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model. Zbl 1403.91201
Uzelac, Filip; Szimayer, Alexander
2
2014
The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts. Zbl 1228.91041
Li, Jing; Szimayer, Alexander
11
2011
A parsimonious multi-asset Heston model: calibration and derivative pricing. Zbl 1233.91263
Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander
10
2011
The COGARCH: a review, with news on option pricing and statistical inference. Zbl 1493.62585
Klüppelberg, Claudia; Maller, Ross; Szimayer, Alexander
5
2011
Own-company stockholding and work effort preferences of an unconstrained executive. Zbl 1202.93170
Desmettre, Sascha; Gould, John; Szimayer, Alexander
2
2010
Testing for mean reversion in processes of Ornstein-Uhlenbeck type. Zbl 1056.62090
Szimayer, A.; Maller, R.
6
2004
A reduced form model for ESO valuation. Modelling the effects of employee departure and takeovers on the value of employee share options. Zbl 1083.91058
Szimayer, Alexander
3
2004
Elliptical copulas: Applicability and limitations. Zbl 1116.62352
Frahm, Gabriel; Junker, Markus; Szimayer, Alexander
43
2003
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Cited by 187 Authors

5 Lu, Kevin W.
4 Buchmann, Boris
4 Czado, Claudia
4 Ignatieva, Katja
3 Madan, Dilip B.
3 Min, Aleksey
2 Biagini, Francesca
2 Cheng, Chunli
2 Christiansen, Marcus Christian
2 Desmettre, Sascha
2 Escobar, Marcos
2 Forbes, Florence
2 Frahm, Gabriel
2 Gan, Guojun
2 Genest, Christian
2 Girard, Stéphane
2 Hashorva, Enkelejd
2 Li, Yaqiong
2 Lin, Lisha
2 Marena, Marina
2 Mazo, Gildas
2 Michaelsen, Markus
2 Platen, Eckhard
2 Schmidt, Rafael
2 Schnurr, Alexander
2 Semeraro, Patrizia
2 Steffensen, Mogens
2 Szimayer, Alexander
2 Wang, Ruodu
2 Wu, Jianhong
2 Zhang, Yinglin
1 Abbas-Turki, Lokman A.
1 Abdous, Belkacem
1 Afuecheta, Emmanuel
1 Aguilar, Jean-Philippe
1 Alexeev, Vitali
1 Altmayer, Martin
1 Arad, Fereshteh
1 Arias-Nicolás, José Pablo
1 Azak, Ayşe Zeynep
1 Balakrishnan, Narayanaswamy
1 Ballotta, Laura
1 Barth, Andrea
1 Beaudoin, David
1 Benites, Yury R.
1 Bernard, Carole L.
1 Bingham, Nicholas Hugh
1 Boen, Lynn
1 Boonyanuphong, Phattanan
1 Bouchaud, Jean-Philippe
1 Brechmann, Eike Christian
1 Cancho, Vicente Garibay
1 Ceci, Claudia
1 Chan, Stephen Chi-fai
1 Chen, Zhijin
1 Chicheportiche, Rémy
1 Cipollini, Fabrizio
1 Clémençon, Stéphan
1 Colaneri, Katia
1 Cretarola, Alessandra
1 Dai, Min
1 Dematteo, Antoine
1 Dereich, Steffen
1 Derumigny, Alexis
1 Diao, Liqun
1 Dißmann, J.
1 Dobrić, Jadran
1 Eberlein, Ernst W.
1 Évin, Guillaume
1 Favre, Anne-Catherine
1 Fermanian, Jean-David
1 Fernández-Ponce, José María
1 Forsyth, Peter A.
1 Fougères, Anne-Laure
1 Gallo, Giampiero M.
1 Gao, Rui
1 Gardini, Matteo
1 Ghalibaf, Mohammad Bolbolian
1 Ghoudi, Kilani
1 Gormin, Anatoly
1 Götz, Barbara
1 Guillaume, Florence
1 Han, Xiaoying
1 Henriksen, Lars Frederik Brandt
1 Hilpert, Christian
1 Hong, Lanqing
1 Hong, Liu Jeff
1 Hryniewicz, Olgierd
1 Hua, Lei
1 Huard, David
1 Hudaverdi, Burcu
1 Huh, Jeonggyu
1 Ivanov, Roman V.
1 Jacod, Jean
1 Jeon, Jaegi
1 Jevtić, Petar
1 Joe, Harry
1 Juneja, Sandeep
1 Junker, Markus
1 Kashtanov, Yuri N.
...and 87 more Authors
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Cited in 49 Serials

11 Insurance Mathematics & Economics
7 International Journal of Theoretical and Applied Finance
6 Computational Statistics and Data Analysis
6 Quantitative Finance
3 Communications in Statistics. Theory and Methods
3 Bernoulli
3 Scandinavian Actuarial Journal
2 The Canadian Journal of Statistics
2 Physica A
2 Journal of Applied Probability
2 Journal of Multivariate Analysis
2 Journal of Economic Dynamics & Control
2 Methodology and Computing in Applied Probability
2 Decisions in Economics and Finance
2 ASTIN Bulletin
2 Stochastics
2 Statistics and Computing
1 Advances in Applied Probability
1 Journal of Mathematical Analysis and Applications
1 Journal of Statistical Planning and Inference
1 Operations Research
1 Statistica
1 Bulletin of the Korean Mathematical Society
1 Statistics & Probability Letters
1 Computers & Operations Research
1 International Journal of Approximate Reasoning
1 The Annals of Applied Probability
1 European Journal of Operational Research
1 Stochastic Processes and their Applications
1 Journal of Nonparametric Statistics
1 Mathematical Finance
1 Mathematical Methods of Operations Research
1 Studies in Nonlinear Dynamics and Econometrics
1 Discrete Dynamics in Nature and Society
1 Extremes
1 Statistical Inference for Stochastic Processes
1 Probability in the Engineering and Informational Sciences
1 Brazilian Journal of Probability and Statistics
1 Acta Mathematica Scientia. Series B. (English Edition)
1 Statistical Modelling
1 Journal of Applied Mathematics and Computing
1 Asia-Pacific Financial Markets
1 Thai Journal of Mathematics
1 Journal of Industrial and Management Optimization
1 Journal of Statistical Theory and Practice
1 International Electronic Journal of Geometry
1 Electronic Journal of Statistics
1 SIAM Journal on Financial Mathematics
1 Journal of Dynamics and Games

Citations by Year