Christian Doppler Laboratory for Portfolio Risk Management (PRisMa Lab)

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Primary Data

Project Acronym Projekt Kurzbezeichnung
FAM: CDL PRisMa
 
Project Title (de) Projekttitel (de)
Christian Doppler Laboratory for Portfolio Risk Management (PRisMa Lab)
 
Project Title (en) Projekttitel (en)
Christian Doppler Laboratory for Portfolio Risk Management (PRisMa Lab)
 
Consortium Coordinator Koordinator des Konsortiums
 
Principal Investigator Projektleiter_in
 

Grants

Funder/Funding Agency Fördergeber
CDG Christian Doppler Forschungsgesellschaft

Publications

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Author:  Hubalek, F.

Results 1-20 of 28 (Search time: 0.003 seconds).

PreviewAuthor(s)TitleTypeIssue Date
1Hubalek, Friedrich ; Kuznetsov, Alexey A convergent series representation for the density of the supremum of a stable processArtikel Article2011
2Hubalek, Friedrich ; Posedel, Petra Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility modelsArtikel Article2011
3Hubalek, Friedrich ; Sgarra, Carlo On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumpsArtikel Article2011
4Hubalek, F. ; Kyprianou, E. Old and new examples of scale functions for spectrally negative Levy processesKonferenzbeitrag Inproceedings2011
5Hubalek, Friedrich Some statistical, analytical, and computational aspects of an affine stochastic volatility model with jumpsPräsentation Presentation2010
6Hubalek, Friedrich On exact simulation of moderately tractable infinite activity Levy processes and their exponential transformPräsentation Presentation2010
7Hubalek, Friedrich Explicit variance-optimal hedging for processes with stationary and independent incrementsPräsentation Presentation2010
8Hubalek, Friedrich On exact simulation of moderately tractable infinite activity Lévy processes and their exponential transformPräsentation Presentation2010
9Hubalek, Friedrich LIBOR Market Models with Jumps, Approximation and InterpolationPräsentation Presentation2010
10Hubalek, Friedrich On Fourier and Laplace transform methods for simple, multi-asset, and path-dependent options/accuracy and efficiencyPräsentation Presentation2009
11Hubalek, Friedrich ; Sgarra, Carlo On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumpsArtikel Article2009
12Hubalek, Friedrich On Trades, Volume, and the Martingale Estimating Function Approach for Stochastic Volatility Models with JumpsPräsentation Presentation2008
13Hubalek, Friedrich On trades, volume, and the martingale estimating function approach for stochastic volatility models with jumpsPräsentation Presentation2008
14Hubalek, Friedrich Probability Measures, Levy Measures, and Analyticity in TimePräsentation Presentation2008
15Hubalek, Friedrich On the Esscher transforms, minimum entropy, and other equivalent martingale measures: From exponential Levy models to a stochastic volatility models with jumpsPräsentation Presentation2008
16Hubalek, Friedrich Some aspects of Levy LIBOR market modelsPräsentation Presentation2008
17Hubalek, Friedrich On Fourier methods for simple, multi-asset, and path-dependent options / accuracy and efficiencyPräsentation Presentation2008
18Hubalek, Friedrich Some aspects of Libor market models with jumpsPräsentation Presentation2008
19Hubalek, Friedrich Explicit Variance-Optimal Hedging for independent increments and related problemsPräsentation Presentation2008
20Hubalek, Friedrich Some aspects of Libor market models with jumpsPräsentation Presentation2008