Edit Profile (opens in new tab) Szimayer, Alexander Co-Author Distance Author ID: 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 all top 5 Co-Authors 1 single-authored 4 Maller, Ross Arthur 2 Buchmann, Boris 2 Desmettre, Sascha 2 Kaehler, Benjamin D. 2 Li, Jing 1 Dimitrov, Georgi K. 1 Frahm, Gabriel 1 Gould, John D. 1 Junker, Markus 1 Klüppelberg, Claudia 1 Lorenz, Stefan 1 Michaelsen, Markus 1 Uzelac, Filip all top 5 Serials 3 Mathematical Methods of Operations Research 3 Quantitative Finance 1 Insurance Mathematics & Economics 1 Statistics & Probability Letters 1 Stochastic Processes and their Applications 1 International Journal of Theoretical and Applied Finance 1 Statistical Inference for Stochastic Processes Fields 9 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 7 Probability theory and stochastic processes (60-XX) 4 Statistics (62-XX) 3 Systems theory; control (93-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Publications by Year all cited Publications top 5 cited Publications 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 all cited Publications top 5 cited Publications all top 5 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 all top 5 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 all top 5 Cited in 13 Fields 50 Statistics (62-XX) 46 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 38 Probability theory and stochastic processes (60-XX) 9 Numerical analysis (65-XX) 5 Calculus of variations and optimal control; optimization (49-XX) 3 Partial differential equations (35-XX) 3 Systems theory; control (93-XX) 2 Computer science (68-XX) 2 Statistical mechanics, structure of matter (82-XX) 2 Operations research, mathematical programming (90-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Differential geometry (53-XX) Citations by Year