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## Hubalek, Friedrich

Compute Distance To:
 Author ID: hubalek.friedrich Published as: Hubalek, F.; Hubalek, Friedrich
 Documents Indexed: 19 Publications since 1998
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#### Co-Authors

 1 single-authored 5 Sgarra, Carlo 4 Schachermayer, Walter 2 Posedel, Petra 1 Barndorff-Nielsen, Ole Eiler 1 Gerhold, Stefan 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 Prodinger, Helmut 1 Teichmann, Josef 1 Tomovski, Živorad 1 Žigo, Mislav
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#### Serials

 3 Quantitative Finance 2 Mathematical Finance 2 International Journal of Theoretical and Applied Finance 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
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#### Fields

 12 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Probability theory and stochastic processes (60-XX) 3 Statistics (62-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 Special functions (33-XX) 1 Operations research, mathematical programming (90-XX) 1 Systems theory; control (93-XX)

#### Citations contained in zbMATH

18 Publications have been cited 227 times in 206 Documents Cited by Year
Old and new examples of scale functions for spectrally negative Lévy processes. Zbl 1274.60148
Hubalek, F.; Kyprianou, E.
2011
Variance-optimal hedging for processes with stationary independent increments. Zbl 1189.91206
Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek
2006
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033
Hubalek, Friedrich; Sgarra, Carlo
2006
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
2007
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481
Hubalek, Friedrich; Schachermayer, Walter
2004
When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026
Hubalek, Friedrich; Schachermayer, Walter
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
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
2009
A convergent series representation for the density of the supremum of a stable process. Zbl 1231.60040
Hubalek, Friedrich; Kuznetsov, Alexey
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
2011
On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps. Zbl 1211.91235
Hubalek, Friedrich; Sgarra, Carlo
2011
Geometric Asian option pricing in general affine stochastic volatility models with jumps. Zbl 1402.91791
Hubalek, Friedrich; Keller-Ressel, Martin; Sgarra, Carlo
2017
Probability measures, Lévy measures and analyticity in time. Zbl 1162.60013
Barndorff-Nielsen, Ole E.; Hubalek, Friedrich
2008
Quadratic hedging for the Bates model. Zbl 1140.91354
Hubalek, Friedrich; Sgarra, Carlo
2007
The limitations of no-arbitrage arguments for real options. Zbl 1153.91512
Hubalek, F.; Schachermayer, W.
2001
A multivariate view of random bucket digital search trees. Zbl 1010.68047
Hubalek, Friedrich; Hwang, Hsien-Kuei; Lew, William; Mahmoud, Hosam; Prodinger, Helmut
2002
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
2013
On the variance of the internal path length of generalized digital trees – the Mellin convolution approach. Zbl 0944.68072
Hubalek, Friedrich
2000
Geometric Asian option pricing in general affine stochastic volatility models with jumps. Zbl 1402.91791
Hubalek, Friedrich; Keller-Ressel, Martin; Sgarra, Carlo
2017
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
2013
Old and new examples of scale functions for spectrally negative Lévy processes. Zbl 1274.60148
Hubalek, F.; Kyprianou, E.
2011
A convergent series representation for the density of the supremum of a stable process. Zbl 1231.60040
Hubalek, Friedrich; Kuznetsov, Alexey
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
2011
On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps. Zbl 1211.91235
Hubalek, Friedrich; Sgarra, Carlo
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
2009
Probability measures, Lévy measures and analyticity in time. Zbl 1162.60013
Barndorff-Nielsen, Ole E.; Hubalek, Friedrich
2008
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
2007
Quadratic hedging for the Bates model. Zbl 1140.91354
Hubalek, Friedrich; Sgarra, Carlo
2007
Variance-optimal hedging for processes with stationary independent increments. Zbl 1189.91206
Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek
2006
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033
Hubalek, Friedrich; Sgarra, Carlo
2006
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481
Hubalek, Friedrich; Schachermayer, Walter
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
2002
A multivariate view of random bucket digital search trees. Zbl 1010.68047
Hubalek, Friedrich; Hwang, Hsien-Kuei; Lew, William; Mahmoud, Hosam; Prodinger, Helmut
2002
The limitations of no-arbitrage arguments for real options. Zbl 1153.91512
Hubalek, F.; Schachermayer, W.
2001
On the variance of the internal path length of generalized digital trees – the Mellin convolution approach. Zbl 0944.68072
Hubalek, Friedrich
2000
When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026
Hubalek, Friedrich; Schachermayer, Walter
1998
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#### Cited by 283 Authors

 8 Kallsen, Jan 8 Palmowski, Zbigniew 7 Hubalek, Friedrich 7 Kyprianou, Andreas E. 6 Sgarra, Carlo 5 Brody, Dorje C. 5 Hughston, Lane P. 5 Kuznetsov, Alexey 4 Angelini, Flavio 4 Herzel, Stefano 4 Li, Bo 4 Loeffen, Ronnie L. 4 Mishura, Yuliya Stepanivna 4 Rüschendorf, Ludger 4 Russo, Francesco 4 Yin, Chuancun 4 Zhou, Xiaowen 3 Albrecher, Hansjörg 3 Bekker, René 3 Biagini, Francesca 3 Chen, Peimin 3 Czarna, Irmina 3 Härtel, Maximilian 3 Henderson, Vicky 3 Hobson, David G. 3 Kardaras, Constantinos 3 Khedher, Asma 3 Kwaśnicki, Mateusz 3 Kyriakou, Ioannis 3 Muhle-Karbe, Johannes 3 Pardo, Juan Carlos 3 Pauwels, Arnd 3 Tankov, Peter 3 Vanmaele, Michèle 3 Wang, Yongjin 2 Agliardi, Rossella 2 Arai, Takuji 2 Ballotta, Laura 2 Barndorff-Nielsen, Ole Eiler 2 Bäuerle, Nicole 2 Baurdoux, Erik Jan 2 Benth, Fred Espen 2 Biffis, Enrico 2 Černý, Aleš 2 Eberlein, Ernst W. 2 Egami, Masahiko 2 Fard, Farzad Alavi 2 Fuchs, Michael 2 Fusai, Gianluca 2 Gnoatto, Alessandro 2 Goutte, Stéphane 2 Grandits, Peter 2 Griffin, Philip S. 2 Ivanovs, Jevgeņijs 2 Jaśkiewicz, Anna 2 Kassberger, Stefan 2 Keller-Ressel, Martin 2 Kountzakis, Christos E. 2 Landriault, David 2 Lee, Young Seop 2 Liebmann, Thomas 2 Luo, Xiankang 2 Mackie, Ewan 2 Małecki, Jacek 2 Niethammer, Christina R. 2 Oudjane, Nadia 2 Papapantoleon, Antonis 2 Porth, Lysa 2 Renaud, Jean-François 2 Resnick, Sidney Ira 2 Rheinländer, Thorsten 2 Samorodnitsky, Gennady Pinkhosovich 2 SenGupta, Indranil 2 Szölgyenyi, Michaela 2 Tan, Ken Seng 2 Tichy, Robert Franz 2 Van Schaik, Kees 2 Vierthauer, Richard 2 Vlasiou, Maria 2 Wang, Xingchun 2 Wolf, Viktor 2 Yamazaki, Kazutoshi 2 Zhu, Wenjun 2 Žitković, Gordan 2 Zwart, Bert P. 1 Aguilar, Jean-Philippe 1 Ahcan, Ales 1 Aistleitner, Christoph 1 Anashin, Vladimir Sergeevich 1 Andersen, Lars Nørvang 1 Anthropelos, Michail 1 Asmussen, Søren 1 Azcue, Pablo 1 Bardi, Martino 1 Baudoin, Fabrice 1 Bayraktar, Erhan 1 Bender, Christian 1 Bizid, Abdelhamid 1 Bo, Lijun 1 Bowsher, Clive G. ...and 183 more Authors
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#### Cited in 77 Serials

 13 Stochastic Processes and their Applications 12 Insurance Mathematics & Economics 12 International Journal of Theoretical and Applied Finance 11 Mathematical Finance 9 Journal of Applied Probability 9 The Annals of Applied Probability 8 Journal of Computational and Applied Mathematics 8 Quantitative Finance 6 Finance and Stochastics 6 Scandinavian Actuarial Journal 6 Decisions in Economics and Finance 5 Applied Mathematical Finance 4 Advances in Applied Probability 4 Stochastic Models 4 Journal of Industrial and Management Optimization 3 Mathematics of Operations Research 3 Stochastic Analysis and Applications 3 European Journal of Operational Research 3 North American Actuarial Journal 3 Review of Derivatives Research 3 Stochastics 3 Mathematics and Financial Economics 2 Journal of Mathematical Analysis and Applications 2 The Annals of Probability 2 Journal of Optimization Theory and Applications 2 Journal of Economic Dynamics & Control 2 Queueing Systems 2 Electronic Journal of Probability 2 Bernoulli 2 Mathematical Problems in Engineering 2 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 2 ASTIN Bulletin 2 SIAM Journal on Financial Mathematics 2 Annals of Finance 2 Statistics & Risk Modeling 1 Lithuanian Mathematical Journal 1 Mathematical Methods in the Applied Sciences 1 Scandinavian Journal of Statistics 1 Applied Mathematics and Optimization 1 Monatshefte für Mathematik 1 Operations Research 1 Theoretical Computer Science 1 Tokyo Journal of Mathematics 1 Statistics & Probability Letters 1 Acta Applicandae Mathematicae 1 Acta Mathematicae Applicatae Sinica. English Series 1 Optimization 1 Probability Theory and Related Fields 1 Journal of Theoretical Probability 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 Opuscula Mathematica 1 Complexity 1 Electronic Communications in Probability 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 Extremes 1 Methodology and Computing in Applied Probability 1 Stochastics and Dynamics 1 Asia-Pacific Financial Markets 1 Mediterranean Journal of Mathematics 1 Proceedings of the Steklov Institute of Mathematics 1 Probability Surveys 1 $$p$$-Adic Numbers, Ultrametric Analysis, and Applications 1 Advances in Decision Sciences 1 European Actuarial Journal 1 S$$\vec{\text{e}}$$MA Journal 1 Stochastic Systems 1 Dependence Modeling 1 Journal of Function Spaces 1 Modern Stochastics. Theory and Applications
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#### Cited in 22 Fields

 162 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 146 Probability theory and stochastic processes (60-XX) 29 Systems theory; control (93-XX) 16 Statistics (62-XX) 9 Numerical analysis (65-XX) 8 Operations research, mathematical programming (90-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 4 Integral transforms, operational calculus (44-XX) 4 Computer science (68-XX) 3 Combinatorics (05-XX) 3 Functional analysis (46-XX) 2 Functions of a complex variable (30-XX) 2 Partial differential equations (35-XX) 2 Integral equations (45-XX) 1 Number theory (11-XX) 1 Real functions (26-XX) 1 Measure and integration (28-XX) 1 Special functions (33-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Operator theory (47-XX) 1 Quantum theory (81-XX) 1 Information and communication theory, circuits (94-XX)