Alexander Szimayer

Alexander Szimayer (* 1973 ) is a German mathematician and economist as well as a professor of finance , especially derivatives, in the business administration department at the University of Hamburg .

Life

Alexander Szimayer completed his preliminary diploma in mathematics with a minor in physics at the Ruprecht-Karls-Universität Heidelberg . In 1999 he obtained his diploma in mathematics, also with a minor in physics, from the Technical University of Munich .

From December 1999 to November 2002, Szimayer was a research associate and deputy department head in the Financial Engineering department of the caesar foundation in Bonn . In 2002 he received his doctorate in applied mathematics with a minor in economics at the Rheinische Friedrich-Wilhelms-Universität Bonn . The topic of his dissertation was Some asymptotic results on non-standard likelihood ratio tests and Cox process modeling in finance .

From December 2002 to February 2006, Szimayer was Lecturer and Senior Lecturer in Accounting & Finance at the UWA Business School of the University of Western Australia in Perth , Australia . From March 2006 to April 2007 he was a Senior Lecturer at the School of Finance and Applied Statistics and Center for Mathematics and its Application at the Australian National University in Canberra , Australia. From June 2007 to September 2008, Szimayer worked as a research assistant in the financial mathematics department at the Fraunhofer ITWM in Kaiserslautern .

From October 2008 to March 2011 he was Professor of Finance in the Department of Economics at the University of Bonn.

Since April 2011, Alexander Szimayer has been Professor of Finance, especially Derivatives, in the Business Administration Department at the University of Hamburg .

Research priorities

His research focuses on derivative financial products and risk management . The valuation of derivatives represents a central research field. This involves developing models that allow an accurate valuation in line with the market. Another focus is the modeling and empirical investigation of dependencies in financial markets with reference to risk management.

There is a research collaboration with Ross Maller from the Australian National University in Canberra, Australia on the subjects of option valuation with Levy processes and the development of stochastic volatility models . Another cooperation exists with Sascha Desmettre from the Fraunhofer ITWM in Kaiserslautern on the topics of designing share-based incentive contracts and the application of stochastic optimization .

Alexander Szimayer ranks 37th in the list of Top 100 researchers under 40 years of age in the Handelsblatt Ranking Business Administration 2012. He is thus one of the most research-oriented business economists among the "youngsters".

Awards

• First prize in applied mathematics for diploma thesis , student conference of the German Mathematicians Association (DMV), Mainz , September 10, 1999
• Prize of the Chorafas Foundation for diploma thesis, Munich , March 18, 2000
• Outstanding Paper Award, annual meeting of the German Finance Association , Tübingen , October 1, 2004
• Best Paper Award, 67th annual conference of the Association of University Professors in Business Administration (VHB), Kiel , May 21, 2005
• Peter Brownell Manuscript Award for best paper published in Accounting and Finance in 2008 ( Valuing Executive Stock Options. Performance Hurdles, Early Exercise, and Stochastic Volatility , together with P. Brown), July 7, 2009

Fonts (selection)

• Some asymptotic results on non-standard likelihood ratio tests and Cox process modeling in finance , 2002 (University of Bonn, dissertation, 2002)

Web links

• Profile of Alexander Szimayer on the website of the University of Hamburg

Individual evidence

1. ^ Alexander Szimayer - Homepage of the chair Website of the University of Hamburg. Accessed May 1, 2019.
2. ↑ ^{a b c d} Alexander Szimayer - Profile website of the University of Hamburg. Accessed May 1, 2019.
3. ↑ Alexander Szimayer - Dissertation . Catalog of the German National Library. Retrieved November 17, 2012.
4. ↑ Alexander Szimayer - Research website of the University of Hamburg. Accessed May 1, 2019.
5. ↑ See publications with R. Muller and S. Desmettre in Alexander Szimayer - Publications website of the University of Hamburg. Accessed May 1, 2019.
6. ↑ Top 100 researchers under 40 years of age. Handelsblatt Ranking Business Administration 2012. Handelsblatt Online. Handelsblatt GmbH, accessed on September 2, 2013 .