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Selected Publications
- Maller, R., D. Solomon, and A. Szimayer (2006) A Multinomial Approximation for American Option Prices in Levy
Process Models. Forthcoming: Mathematical Finance
- Platen, E., and D. Heath (2006) A Benchmark Approach to Quantitative Finance. Monograph in Series:
Springer Finance
[Link]
- Junker, M., A. Szimayer, and N. Wagner (2006) Nonlinear Term Structure Dependence: Copula
Functions, Empirics, and
Risk Implications. Journal of Banking and Finance
- Szimayer, A. (2005) Valuation of American Options in the Presence of Event Risk. Finance and Stochastics
- Klüppelberg, C., A. Lindner, and R. Maller (2004) A continuous time GARCH process driven
by a Lévy process:
stationarity and second order behaviour. Journal of Applied Probability
- Klüppelberg, C., A. Kyprianou, and R. Maller (2004) Ruin probabilities and overshoots
for general Lévy insurance risk processes. Annals of Applied Probability
- Klüppelberg, C., R. Maller, M. Van De Vyver, and D. Wee (2002) Testing for reduction to
random walk in ARCH models. Econometrics Journal
- Heyde, C. (1999) A risky asset model with strong dependence through fractal activity time. Journal of Applied
Probability
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