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Author ID: hubalek.friedrich Recent zbMATH articles by "Hubalek, Friedrich"
Published as: Hubalek, Friedrich; Hubalek, F.

Publications by Year

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 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

Citations by Year