Friedrich Hubalek

Available identifiers

zbMath Open hubalek.friedrichMaRDI QIDQ535465

List of research outcomes

Publication	Date of Publication	Type
On Properties of the MixedTS Distribution and Its Multivariate Extension	2023-11-10	Paper
Convergence of optimal expected utility for a sequence of binomial models	2023-09-28	Paper
https://portal.mardi4nfdi.de/entity/Q5856820	2021-03-29	Paper
Asymptotics of some generalized Mathieu series	2020-11-19	Paper
On binomial order avalanches	2020-07-15	Paper
The running maximum of the Cox-Ingersoll-Ross process with some properties of the Kummer function	2020-04-22	Paper
Geometric Asian option pricing in general affine stochastic volatility models with jumps	2018-11-19	Paper
Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach	2013-08-26	Paper
Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes	2012-08-24	Paper
A convergent series representation for the density of the supremum of a stable process	2011-09-09	Paper
Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models	2011-07-28	Paper
On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps	2011-05-11	Paper
On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps	2009-07-15	Paper
Probability measures, Lévy measures and analyticity in time	2009-03-02	Paper
Optimal expected exponential utility of dividend payments in a Brownian risk model	2009-02-28	Paper
THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS	2008-09-03	Paper
Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models	2008-07-22	Paper
QUADRATIC HEDGING FOR THE BATES MODEL	2008-05-20	Paper
Variance-optimal hedging for processes with stationary independent increments	2007-08-08	Paper
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE	2007-03-02	Paper
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models	2006-08-21	Paper
A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL	2003-08-13	Paper
A multivariate view of random bucket digital search trees	2003-03-23	Paper
When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?	2001-03-29	Paper
On the variance of the internal path length of generalized digital trees -- the Mellin convolution approach	2000-08-21	Paper

Research outcomes over time

Doctoral students

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