Edit Profile (opens in new tab) Hubalek, Friedrich Co-Author Distance Author ID: hubalek.friedrich Published as: Hubalek, Friedrich; Hubalek, F. Documents Indexed: 25 Publications since 1998, including 3 Additional arXiv Preprints Co-Authors: 24 Co-Authors with 24 Joint Publications 636 Co-Co-Authors all top 5 Co-Authors 1 single-authored 5 Schachermayer, Walter 5 Sgarra, Carlo 3 Posedel, Petra 2 Gerhold, Stefan 2 Hitaj, Asmerilda 2 Mercuri, Lorenzo 2 Rroji, Edit 1 Barndorff-Nielsen, Ole Eiler 1 Grandits, Peter 1 Hwang, Hsien-Kuei 1 Kallsen, Jan 1 Keller-Ressel, Martin 1 Klein, Irene 1 Krawczyk, Leszek 1 Kuznetsov, Alexey 1 Kyprianou, E. K. 1 Lew, William 1 Mahmoud, Hosam M. 1 Paris, Richard Bruce 1 Prodinger, Helmut 1 Radojicic, Dragana 1 Teichmann, Josef 1 Tomovski, Živorad 1 Žigo, Mislav all top 5 Serials 3 Mathematical Finance 3 Quantitative Finance 2 International Journal of Theoretical and Applied Finance 1 International Statistical Review 1 Journal of Computational and Applied Mathematics 1 Mathematica Scandinavica 1 Theoretical Computer Science 1 Journal of Algorithms 1 Insurance Mathematics & Economics 1 The Annals of Applied Probability 1 Glasnik Matematički. Serija III 1 Stochastic Processes and their Applications 1 Electronic Communications in Probability 1 Bernoulli 1 Scandinavian Actuarial Journal all top 5 Fields 14 Probability theory and stochastic processes (60-XX) 13 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Statistics (62-XX) 2 Special functions (33-XX) 2 Integral transforms, operational calculus (44-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Computer science (68-XX) 1 Number theory (11-XX) 1 Approximations and expansions (41-XX) 1 Operations research, mathematical programming (90-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 21 Publications have been cited 299 times in 268 Documents Cited by ▼ Year ▼ Old and new examples of scale functions for spectrally negative Lévy processes. Zbl 1274.60148 Hubalek, F.; Kyprianou, E. 65 2011 Variance-optimal hedging for processes with stationary independent increments. Zbl 1189.91206 Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek 48 2006 Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033 Hubalek, Friedrich; Sgarra, Carlo 41 2006 Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481 Hubalek, Friedrich; Schachermayer, Walter 22 2004 Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080 Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav 22 2007 When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026 Hubalek, Friedrich; Schachermayer, Walter 17 1998 A general proof of the Dybvig-Ingersoll-Ross theorem: long forward rates can never fall. Zbl 1103.91350 Hubalek, Friedrich; Klein, Irene; Teichmann, Josef 14 2002 On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps. Zbl 1177.60068 Hubalek, Friedrich; Sgarra, Carlo 10 2009 On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps. Zbl 1211.91235 Hubalek, Friedrich; Sgarra, Carlo 9 2011 Geometric Asian option pricing in general affine stochastic volatility models with jumps. Zbl 1402.91791 Hubalek, Friedrich; Keller-Ressel, Martin; Sgarra, Carlo 9 2017 A convergent series representation for the density of the supremum of a stable process. Zbl 1231.60040 Hubalek, Friedrich; Kuznetsov, Alexey 8 2011 Probability measures, Lévy measures and analyticity in time. Zbl 1162.60013 Barndorff-Nielsen, Ole E.; Hubalek, Friedrich 8 2008 Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models. Zbl 1217.91209 Hubalek, Friedrich; Posedel, Petra 6 2011 A multivariate view of random bucket digital search trees. Zbl 1010.68047 Hubalek, Friedrich; Hwang, Hsien-Kuei; Lew, William; Mahmoud, Hosam; Prodinger, Helmut 5 2002 Quadratic hedging for the Bates model. Zbl 1140.91354 Hubalek, Friedrich; Sgarra, Carlo 4 2007 The limitations of no-arbitrage arguments for real options. Zbl 1153.91512 Hubalek, F.; Schachermayer, W. 4 2001 Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach. Zbl 1273.62248 Hubalek, Friedrich; Posedel, Petra 2 2013 On multivariate extensions of the mixed tempered stable distribution. Zbl 1462.62029 Hitaj, Asmerilda; Hubalek, Friedrich; Mercuri, Lorenzo; Rroji, Edit 2 2016 On the variance of the internal path length of generalized digital trees – the Mellin convolution approach. Zbl 0944.68072 Hubalek, Friedrich 1 2000 Asymptotics of some generalized Mathieu series. Zbl 1455.33015 Gerhold, Stefan; Hubalek, Friedrich; Tomovski, Živorad 1 2020 On properties of the MixedTS distribution and its multivariate extension. Zbl 07763616 Hitaj, Asmerilda; Hubalek, Friedrich; Mercuri, Lorenzo; Rroji, Edit 1 2018 Asymptotics of some generalized Mathieu series. Zbl 1455.33015 Gerhold, Stefan; Hubalek, Friedrich; Tomovski, Živorad 1 2020 On properties of the MixedTS distribution and its multivariate extension. Zbl 07763616 Hitaj, Asmerilda; Hubalek, Friedrich; Mercuri, Lorenzo; Rroji, Edit 1 2018 Geometric Asian option pricing in general affine stochastic volatility models with jumps. Zbl 1402.91791 Hubalek, Friedrich; Keller-Ressel, Martin; Sgarra, Carlo 9 2017 On multivariate extensions of the mixed tempered stable distribution. Zbl 1462.62029 Hitaj, Asmerilda; Hubalek, Friedrich; Mercuri, Lorenzo; Rroji, Edit 2 2016 Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach. Zbl 1273.62248 Hubalek, Friedrich; Posedel, Petra 2 2013 Old and new examples of scale functions for spectrally negative Lévy processes. Zbl 1274.60148 Hubalek, F.; Kyprianou, E. 65 2011 On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps. Zbl 1211.91235 Hubalek, Friedrich; Sgarra, Carlo 9 2011 A convergent series representation for the density of the supremum of a stable process. Zbl 1231.60040 Hubalek, Friedrich; Kuznetsov, Alexey 8 2011 Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models. Zbl 1217.91209 Hubalek, Friedrich; Posedel, Petra 6 2011 On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps. Zbl 1177.60068 Hubalek, Friedrich; Sgarra, Carlo 10 2009 Probability measures, Lévy measures and analyticity in time. Zbl 1162.60013 Barndorff-Nielsen, Ole E.; Hubalek, Friedrich 8 2008 Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080 Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav 22 2007 Quadratic hedging for the Bates model. Zbl 1140.91354 Hubalek, Friedrich; Sgarra, Carlo 4 2007 Variance-optimal hedging for processes with stationary independent increments. Zbl 1189.91206 Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek 48 2006 Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033 Hubalek, Friedrich; Sgarra, Carlo 41 2006 Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481 Hubalek, Friedrich; Schachermayer, Walter 22 2004 A general proof of the Dybvig-Ingersoll-Ross theorem: long forward rates can never fall. Zbl 1103.91350 Hubalek, Friedrich; Klein, Irene; Teichmann, Josef 14 2002 A multivariate view of random bucket digital search trees. Zbl 1010.68047 Hubalek, Friedrich; Hwang, Hsien-Kuei; Lew, William; Mahmoud, Hosam; Prodinger, Helmut 5 2002 The limitations of no-arbitrage arguments for real options. Zbl 1153.91512 Hubalek, F.; Schachermayer, W. 4 2001 On the variance of the internal path length of generalized digital trees – the Mellin convolution approach. Zbl 0944.68072 Hubalek, Friedrich 1 2000 When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026 Hubalek, Friedrich; Schachermayer, Walter 17 1998 all cited Publications top 5 cited Publications all top 5 Cited by 373 Authors 10 Zhou, Xiaowen 8 Hubalek, Friedrich 8 Hughston, Lane P. 8 Kallsen, Jan 8 Kyprianou, Andreas E. 8 Palmowski, Zbigniew 7 Sgarra, Carlo 5 Brody, Dorje C. 5 Kuznetsov, Alexey 5 Li, Bo 5 Wang, Wenyuan 4 Angelini, Flavio 4 Fuchs, Michael 4 Herzel, Stefano 4 Loeffen, Ronnie L. 4 Mishura, Yuliya Stepanivna 4 Rüschendorf, Ludger 4 Russo, Francesco 4 Yin, Chuancun 3 Albrecher, Hansjörg 3 Biagini, Francesca 3 Bouzianis, George 3 Brignone, Riccardo 3 Černý, Aleš 3 Chen, Peimin 3 Czarna, Irmina 3 Härtel, Maximilian 3 Henderson, Vicky 3 Hobson, David Graham 3 Ivanovs, Jevgeņijs 3 Kardaras, Constantinos 3 Khedher, Asma 3 Kwaśnicki, Mateusz 3 Landriault, David 3 Małecki, Jacek 3 Muhle-Karbe, Johannes 3 Pardo, Juan Carlos 3 Pauwels, Arnd 3 Renaud, Jean-François 3 Rheinländer, Thorsten 3 Tankov, Peter 3 Van Schaik, Kees 3 Vanmaele, Michèle 3 Wang, Yongjin 2 Agliardi, Rossella 2 Andersen, Lars Nørvang 2 Arai, Takuji 2 Asmussen, Søren 2 Assa, Hirbod 2 Avanzi, Benjamin 2 Ballotta, Laura 2 Barndorff-Nielsen, Ole Eiler 2 Bäuerle, Nicole 2 Baurdoux, Erik Jan 2 Bayraktar, Erhan 2 Behme, Anita Diana 2 Bekker, René 2 Benth, Fred Espen 2 Biffis, Enrico 2 Chaumont, Loïc 2 Constantinescu, Corina D. 2 Duval, Céline 2 Eberlein, Ernst W. 2 Egami, Masahiko 2 Eisenberg, Julia 2 Fard, Farzad Alavi 2 Fusai, Gianluca 2 Gnoatto, Alessandro 2 Goutte, Stéphane 2 Grandits, Peter 2 Griffin, Philip S. 2 Hitaj, Asmerilda 2 Jaśkiewicz, Anna 2 Kassberger, Stefan 2 Keller-Ressel, Martin 2 Kountzakis, Christos E. 2 Lee, Chung-Kuei 2 Li, Zhe 2 Liebmann, Thomas 2 Liu, Yongjun 2 Luo, Xiankang 2 Mackie, Ewan 2 Mariucci, Ester 2 Mercuri, Lorenzo 2 Niethammer, Christina R. 2 Oudjane, Nadia 2 Papapantoleon, Antonis 2 Porth, Lysa 2 Resnick, Sidney Ira 2 Rroji, Edit 2 Samorodnitsky, Gennady Pinkhosovich 2 Scotti, Simone 2 Szölgyenyi, Michaela 2 Tan, Ken Seng 2 Tichy, Robert Franz 2 Torricelli, Lorenzo 2 Vierthauer, Richard 2 Vlasiou, Maria 2 Vostrikova, Lioudmila 2 Wang, Xingchun ...and 273 more Authors all top 5 Cited in 92 Serials 15 Insurance Mathematics & Economics 14 International Journal of Theoretical and Applied Finance 13 Stochastic Processes and their Applications 12 Mathematical Finance 10 Journal of Applied Probability 10 Journal of Computational and Applied Mathematics 9 The Annals of Applied Probability 9 Scandinavian Actuarial Journal 8 Advances in Applied Probability 8 Applied Mathematical Finance 8 Quantitative Finance 7 Finance and Stochastics 6 Decisions in Economics and Finance 6 Stochastics 5 North American Actuarial Journal 5 Mathematics and Financial Economics 4 European Journal of Operational Research 4 Stochastic Models 4 Journal of Industrial and Management Optimization 3 Physica A 3 Journal of Optimization Theory and Applications 3 Mathematics of Operations Research 3 Stochastic Analysis and Applications 3 Queueing Systems 3 Electronic Journal of Probability 3 Bernoulli 3 Methodology and Computing in Applied Probability 3 Review of Derivatives Research 3 SIAM Journal on Financial Mathematics 2 Journal of Mathematical Analysis and Applications 2 Lithuanian Mathematical Journal 2 The Annals of Probability 2 Theoretical Computer Science 2 Acta Mathematicae Applicatae Sinica 2 Acta Applicandae Mathematicae 2 Journal of Economic Dynamics & Control 2 Journal of Theoretical Probability 2 Mathematical Problems in Engineering 2 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 2 ASTIN Bulletin 2 Probability Surveys 2 European Actuarial Journal 2 Annals of Finance 2 Statistics & Risk Modeling 1 International Journal of Control 1 Mathematical Methods in the Applied Sciences 1 Scandinavian Journal of Statistics 1 Applied Mathematics and Computation 1 Applied Mathematics and Optimization 1 International Statistical Review 1 Journal of Econometrics 1 Monatshefte für Mathematik 1 Naval Research Logistics 1 Operations Research 1 Tokyo Journal of Mathematics 1 Statistics & Probability Letters 1 Acta Mathematicae Applicatae Sinica. English Series 1 Optimization 1 Probability Theory and Related Fields 1 Applied Mathematics Letters 1 SIAM Journal on Discrete Mathematics 1 Journal of Integral Equations and Applications 1 International Journal of Mathematics 1 Annals of Operations Research 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Potential Analysis 1 Filomat 1 The Electronic Journal of Combinatorics 1 Opuscula Mathematica 1 Complexity 1 Electronic Communications in Probability 1 Mathematical Communications 1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 1 Mathematical Methods of Operations Research 1 Discrete Dynamics in Nature and Society 1 Journal of Integer Sequences 1 Extremes 1 Communications in Nonlinear Science and Numerical Simulation 1 Brazilian Journal of Probability and Statistics 1 Stochastics and Dynamics 1 Asia-Pacific Financial Markets 1 Mediterranean Journal of Mathematics 1 Computational Management Science 1 Proceedings of the Steklov Institute of Mathematics 1 Electronic Journal of Statistics 1 \(p\)-Adic Numbers, Ultrametric Analysis, and Applications 1 Advances in Decision Sciences 1 S\(\vec{\text{e}}\)MA Journal 1 Stochastic Systems 1 Dependence Modeling 1 Journal of Function Spaces 1 Modern Stochastics. Theory and Applications all top 5 Cited in 25 Fields 201 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 185 Probability theory and stochastic processes (60-XX) 33 Systems theory; control (93-XX) 28 Statistics (62-XX) 10 Operations research, mathematical programming (90-XX) 9 Calculus of variations and optimal control; optimization (49-XX) 8 Numerical analysis (65-XX) 6 Computer science (68-XX) 5 Partial differential equations (35-XX) 5 Integral transforms, operational calculus (44-XX) 4 Combinatorics (05-XX) 4 Functional analysis (46-XX) 2 Number theory (11-XX) 2 Functions of a complex variable (30-XX) 2 Special functions (33-XX) 2 Integral equations (45-XX) 1 Real functions (26-XX) 1 Measure and integration (28-XX) 1 Ordinary differential equations (34-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Operator theory (47-XX) 1 Quantum theory (81-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Information and communication theory, circuits (94-XX) 1 Mathematics education (97-XX) Citations by Year