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Alexander Szimayer · Study

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Alexander Szimayer

6 works· latest 2016· 3 institutionscluster: provisionalORCID 0000-0001-8182-0905

h-index6

i106

Citations316

Works here6

03

04

11

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16

Most cited in this library

Elliptical copulas: applicability and limitations2003 · 155 citations
Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany2004 · 62 citations
The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees2013 · 27 citations
A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING2011 · 26 citations
Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing2016 · 23 citations

Works

6 shown

Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing

Stochastic Processes and their Applications·2016·4 authors·Open access

23citations

The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees

Quantitative Finance·2013·2 authors·Open access

27citations

The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts

Insurance Mathematics and Economics·2011·2 authors·Open access

23citations

A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING

International Journal of Theoretical and Applied Finance·2011·2 authors

26citations

Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany

Research in International Business and Finance·2004·2 authors·Open access

62citations

Elliptical copulas: applicability and limitations

Statistics & Probability Letters·2003·2 authors

155citations