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Modeling non-maturing Demand Deposits : a proposed methodology to determining the idiosyncratic confidence level used for separating stable deposit volumes from volatile deposit volumes

Döpp, Sophie; Horovitz, Andre; Szimayer, Alexander - 2021

This paper aims to develop a methodology for the estimation of the idiosyncratic confidence level inherent within the process of determining the threshold of separation between volatile and stable deposit volumes. The idiosyncratic confidence level must be reflective of the institution's...

Persistent link: https://www.econbiz.de/10013249066

Modeling non-maturing demand deposits : a proposed methodology to determining the idiosyncratic confidence level used for separating stable deposit volumes from volatile deposit volumes

Döpp, Sophie; Horovitz, Andre; Szimayer, Alexander - In: The Quarterly Journal of Finance : QJF 12 (2022) 1, pp. 2240006-1-2240006-20

Persistent link: https://www.econbiz.de/10013174948

Alternative model specifications for implied volatility measured by the German VDAX

Wagner, Niklas F.; Szimayer, Alexander - In: Kredit und Kapital 34 (2001) 4, pp. 590-618

Persistent link: https://www.econbiz.de/10001654495

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

Wagner, Niklas F.; Szimayer, Alexander - In: Research in international business and finance 18 (2004) 3, pp. 237-251

Persistent link: https://www.econbiz.de/10003396216

A parsimonious multi-asset Heston model : calibration and derivative pricing

Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1299-1333

Persistent link: https://www.econbiz.de/10009541994

Pricing American options in the Heston model : a close look on incorporating correlation

Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - 2011

Persistent link: https://www.econbiz.de/10009688311

Quanto option pricing in the parsimonious Heston model

Dimitroff, Georgi; Szimayer, Alexander; Wagner, Andreas - 2009

Persistent link: https://www.econbiz.de/10009688320

A parsimonious multi-asset Heston model : calibration and derivative pricing

Szimayer, Alexander; Dimitroff, Geogri; Lorenz, Stefan - 2009

Persistent link: https://www.econbiz.de/10009688323

Pricing American options in the Heston model : a close look at incorporating correlation

Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 9-29

Persistent link: https://www.econbiz.de/10009725351

Marginal consistent dependence modelling using weak subordination for Brownian motions

Michaelsen, Markus; Szimayer, Alexander - In: Quantitative finance 18 (2018) 11, pp. 1909-1925

Persistent link: https://www.econbiz.de/10012262863

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