Alexander Szimayer

Available identifiers

Publication	Date of Publication	Type
Marginal consistent dependence modelling using weak subordination for Brownian motions	2019-02-06	Paper
Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing	2017-06-22	Paper
Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing	2015-02-13	Paper
The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees	2014-09-05	Paper
Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model	2014-09-05	Paper
A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING	2012-03-13	Paper
The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts	2011-12-21	Paper
https://portal.mardi4nfdi.de/entity/Q3099667	2011-12-01	Paper
Work effort, consumption, and portfolio selection: When the occupational choice matters	2011-09-20	Paper
Own-company stockholding and work effort preferences of an unconstrained executive	2010-12-03	Paper
A reduced form model for ESO valuation. Modelling the effects of employee departure and takeovers on the value of employee share options	2004-09-22	Paper
Elliptical copulas: Applicability and limitations.	2004-02-14	Paper

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