Gerhold, S., Hubalek, F., & Paris, R. B. (2022). The running maximum of the Cox-Ingersoll-Ross process with some properties of the Kummer function. Journal of Inequalities and Special Functions, 13(2), 1–18. https://doi.org/10.54379/jiasf-2022-2-1 ( reposiTUm)
Hubalek, F., & Schachermayer, W. (2021). Convergence of optimal expected utility for a sequence of binomial models. Mathematical Finance, 31(4), 1315–1331. https://doi.org/10.1111/mafi.12326 ( reposiTUm)
Hitaj, A., Hubalek, F., Mercuri, L., & Rroji, E. (2018). On Properties of the MixedTS Distribution and Its Multivariate Extension. International Statistical Review, 86(3), 512–540. https://doi.org/10.1111/insr.12265 ( reposiTUm)
Hubalek, F., Keller-Ressel, M., & Sgarra, C. (2017). Geometric Asian option pricing in general affine stochastic volatility models with jumps. Quantitative Finance, 17(6), 873–888. https://doi.org/10.1080/14697688.2016.1256495 ( reposiTUm)
Hubalek, F., & Posedel, P. (2013). Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach. GLASNIK MATEMATICKI, 48(1), 185–210. https://doi.org/10.3336/gm.48.1.15 ( reposiTUm)
Hubalek, F., & Kuznetsov, A. (2011). A convergent series representation for the density of the supremum of a stable process. Electronic Communications in Probability, 16(none). https://doi.org/10.1214/ecp.v16-1601 ( reposiTUm)
Hubalek, F., & Posedel, P. (2011). Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models. Quantitative Finance, 11(6), 917–932. https://doi.org/10.1080/14697680903547907 ( reposiTUm)
Hubalek, F., & Sgarra, C. (2011). On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps. Journal of Computational and Applied Mathematics, 235(11), 3355–3365. https://doi.org/10.1016/j.cam.2011.01.049 ( reposiTUm)
Hubalek, F., & Sgarra, C. (2009). On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps. Stochastic Processes and Their Applications, 119(7), 2137–2157. https://doi.org/10.1016/j.spa.2008.10.005 ( reposiTUm)
Grandits, P., Hubalek, F., Schachermayer, W., & Žigo, M. (2007). Optimal expected exponential utility of dividend payments in a Brownian risk model. Scandinavian Actuarial Journal, 2007(2), 73–107. https://doi.org/10.1080/03461230601165201 ( reposiTUm)
Hubalek, F., Kallsen, J., & Krawczyk, L. (2006). Variance-optimal hedging for processes with stationary independent increments. Annals of Applied Probability, 16(2), 853–885. http://hdl.handle.net/20.500.12708/172068 ( reposiTUm)
Hubalek, F., & Sgarra, C. (2006). Esscher transforms and the minimal entropy martingale measure for exponential Levy models. Quantitative Finance, 6(2), 125–145. http://hdl.handle.net/20.500.12708/172127 ( reposiTUm)
Hubalek, F., Kallsen, J., & Krawczyk, L. (2005). Variance-optimal hedging for processes with stationary independent increments. Working Paper Series of the Centre for Analytical Finance, NO. 208, 1–34. http://hdl.handle.net/20.500.12708/171863 ( reposiTUm)
Beiträge in Tagungsbänden
Hubalek, F., & Gerhold, S. (2024). The effect of policy cancellation on the risk of an insurance portfolio. In “Advances in Actuarial Science and Finance” : A Conference in Honour of Prof. Takis Papaioannou (pp. 3–3). ( reposiTUm)
Hubalek, F., & Kyprianou, E. (2011). Old and new examples of scale functions for spectrally negative Levy processes. In Seminar on Stochastic Analysis, Random Fields and Applications VI (pp. 119–145). Springer. https://doi.org/10.1007/978-3-0348-0021-1_8 ( reposiTUm)
Präsentationen
Gerhold, S., & Hubalek, F. (2024, August 16). The effect of policy cancellation on the risk of an insurance portfolio [Conference Presentation]. Scandinavian Actuarial Conference 2024, Copenhagen, Denmark. ( reposiTUm)
Gerhold, S., Gülüm, I. C., & Hubalek, F. (2024, October 21). Some musings on Strassen’s theorem: From bid-ask spreads to life insurance [Keynote Presentation]. Stochastics in Mathematical Finance and Physics Conference, Tunis, Tunisia. ( reposiTUm)
Hubalek, F. (2024, May 30). On expansions related to the central limit theorem and with an application to the cost of cancellation in insurance mathematics [Poster Presentation]. Ole E. Barndorff-Nielsen Memorial Conference 2024, Aarhus, Denmark. ( reposiTUm)
Hubalek, F. (2021). Comparing binomial and Gaussian tails with an application to utility maximization. Vienna Seminar in Mathematical Finance and Probability, University of Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/123410 ( reposiTUm)
Hubalek, F. (2020). Comparing binomial and Gaussian tails with an application to utility maximization. An Afternoon for Stochastic Analysis and Applications, University of Jyväskylä, Finland. http://hdl.handle.net/20.500.12708/123132 ( reposiTUm)
Hubalek, F. (2016). Some results on skew random walks and the (1,2)-casino. Festkolloquium aus Anlass des 60. Geburtstags von o.Univ.-Prof. Dr. Peter Kirschenhofer, Montanuniversität Leoben, Austria, Austria. http://hdl.handle.net/20.500.12708/121770 ( reposiTUm)
Hubalek, F. (2016). A binomial order book model and its Brownian limit. Vienna Seminar in Mathematical Finance and Probability, University of Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/121773 ( reposiTUm)
Hubalek, F. (2016). Some analytical and statistical aspects of a stochastic volatility model of Ornstein-Uhlenbeck type. Joint research seminar of the Institute of Mathematics and the Department of Applied Mathematics, Ulaanbaatar, Mongolia. http://hdl.handle.net/20.500.12708/121727 ( reposiTUm)
Hubalek, F. (2016). A binomial order book model and its Brownian limit. BFS 2016 - 9th World Congress of the Bachelier Finance Society, New York, United States of America (the). http://hdl.handle.net/20.500.12708/121747 ( reposiTUm)
Hubalek, F. (2015). Some special functions and equations arising from a simple binomial order book model. MCM2015 - 10th IMACS Seminar on Monte Carlo Methods, Johannes Keppler University Linz, Austria, Austria. http://hdl.handle.net/20.500.12708/121299 ( reposiTUm)
Hubalek, F. (2015). Some PDEs, an SPDE and some special functions arising from a simple binomial order book model. Workshop on Stochastic Analysis and Related Topics, Jyväskylä, Finland. http://hdl.handle.net/20.500.12708/121317 ( reposiTUm)
Hubalek, F. (2015). Integral transforms, contour integration, and numerical quadrature for finance and insurance. Series of lectures within the Erasmus Teaching Staff Exchange at Dipartimento di Matematica “Francesco Brioschi”, Politecnico di Milano, Italy, Mailand, Italy. http://hdl.handle.net/20.500.12708/121273 ( reposiTUm)
Hubalek, F. (2015). Brownian excursion limits for the avalanche length in a binomial limit order book model. Joint Austrian-Hungarian Mathematical Conference 2015, Györ, Hungary. http://hdl.handle.net/20.500.12708/121303 ( reposiTUm)
Hubalek, F. (2015). Probability Theory. Volunteer Lecturer Program (VLP) of the Commission for Developing Countries (CDC) at National University of Mongolia, Ulan Bator, Mongolia, National University of Mongolia, Ulan Bator, Mongolia. http://hdl.handle.net/20.500.12708/121290 ( reposiTUm)
Hubalek, F. (2014). On fractional Brownian motion, Gaussian moving averages, overlapping observations, and interest rate modellin. SFB Colloquium, Johannes Kepler University Linz, Linz, Austria, Austria. http://hdl.handle.net/20.500.12708/120975 ( reposiTUm)
Hubalek, F. (2014). Brownian excursion limits for the avalanche length in a binomial limit order book model. 3rd Austrian Stochastics Days, Leoben, Austria. http://hdl.handle.net/20.500.12708/120956 ( reposiTUm)
Hubalek, F. (2013). Joint analysis and estimation of stock prices and trading volume in stochastic volatility models jump. Kolloquium Finanz- und Versicherungsmathematik, TU Graz, Austria, Austria. http://hdl.handle.net/20.500.12708/120688 ( reposiTUm)
Hubalek, F. (2013). Quantitative Methods in Risk Management (Part I). Summer School in Economics and Finance - Canazei, Alba di Canazei, Trento, Italy, EU. http://hdl.handle.net/20.500.12708/120668 ( reposiTUm)
Hubalek, F. (2012). On the asymptotic analysis of the martingale estimating function approach. Stochastics Seminar, Department of Mathematics and Statistics, Universitaet Jyvaeskylae, Finland, EU. http://hdl.handle.net/20.500.12708/120242 ( reposiTUm)
Hubalek, F. (2010). On exact simulation of moderately tractable infinite activity Lévy processes and their exponential transform. Universität Innsbruck, Austria. http://hdl.handle.net/20.500.12708/119638 ( reposiTUm)
Hubalek, F. (2010). Some statistical, analytical, and computational aspects of an affine stochastic volatility model with jumps. Workshop on Stochastic Volatility, Affine Processes and Transform Methods, University Rome, Italy, EU. http://hdl.handle.net/20.500.12708/119412 ( reposiTUm)
Hubalek, F. (2010). On exact simulation of moderately tractable infinite activity Levy processes and their exponential transform. Workshop on Quantitative Finance, Università die Perugia, Italy, EU. http://hdl.handle.net/20.500.12708/119410 ( reposiTUm)
Hubalek, F. (2009). On Fourier and Laplace transform methods for simple, multi-asset, and path-dependent options/accuracy and efficiency. Politecnico di Milano, Dipartimento di Matematica, Milano, Austria. http://hdl.handle.net/20.500.12708/119194 ( reposiTUm)
Hubalek, F. (2009). Old and new examples of scale functions for spectrally negative Levy processes and applications. ÖMG-DMV Kongress, Graz, Austria. http://hdl.handle.net/20.500.12708/119196 ( reposiTUm)
Hubalek, F. (2008). On Fourier methods for simple, multi-asset, and path-dependent options / accuracy and efficiency. Workshop on Quantitative Finance, Università die Perugia, Italy, EU. http://hdl.handle.net/20.500.12708/118663 ( reposiTUm)
Hubalek, F. (2008). On optimal strategies and Levy process-driven models in mathematical finance and insurance mathematics - Variance-optimal hedging. Habilitationsvortrag, Wien, Austria. http://hdl.handle.net/20.500.12708/118668 ( reposiTUm)
Hubalek, F. (2008). On Trades, Volume, and the Martingale Estimating Function Approach for Stochastic Volatility Models with Jumps. PRisMa Day - Workshop on Portfolio Risk Management, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118887 ( reposiTUm)
Hubalek, F. (2008). On the Esscher transforms, minimum entropy, and other equivalent martingale measures: From exponential Levy models to a stochastic volatility models with jumps. University of Jyvaeskylae, Jyvaeskylaer, Finland, EU. http://hdl.handle.net/20.500.12708/118890 ( reposiTUm)
Hubalek, F. (2008). On trades, volume, and the martingale estimating function approach for stochastic volatility models with jumps. Special Semester on Stochastics with Emphasis on Finance, (RICAM) Austrian Academy of Sciences (ÖAW) , Linz, Austria. http://hdl.handle.net/20.500.12708/118888 ( reposiTUm)
Hubalek, F. (2007). On Tractable Finite-Activity Lévy Libor Market Models. Conference on Levy Processes: Theory and Applications, Copenhagen, Denmark, EU. http://hdl.handle.net/20.500.12708/118492 ( reposiTUm)
Hubalek, F. (2007). On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models. Conference on Levy Processes: Theory and Applications, Copenhagen, Denmark, EU. http://hdl.handle.net/20.500.12708/118379 ( reposiTUm)
Hubalek, F. (2007). Explicit formulas for pricing and variance-optimal hedging of multi-asset and path dependent options in affine models. Politecnico di Milano, Milan, Italy, EU. http://hdl.handle.net/20.500.12708/118377 ( reposiTUm)
Hubalek, F. (2007). On precision and efficienciy of slow and fast Fourier transform for simple, multi-asset, and path-dependent options. Frankfurt MathFinance Colloquium, Frankfurt School of Finance and Management, Frankfurt, Germany, EU. http://hdl.handle.net/20.500.12708/118378 ( reposiTUm)
Hubalek, F. (2007). On small- and large-time expansions for Levy semigroups on the real line. Mini-Workshop: Levy Processes and Related Topics in Modelling, Oberwolfach, Germany, EU. http://hdl.handle.net/20.500.12708/118376 ( reposiTUm)
Hubalek, F. (2006). Simple Explicit Variance-Optimal Hedging for Path-Dependent and Multi-Asset Derivatives. PRisMa Day 2006 - One-Day Workshop on Portfolio Risk Management, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/117952 ( reposiTUm)
Hubalek, F. (2006). Explicit variance optimal hedging for assets with stationary independent increments with some applications. University of Zagreb, Zagreb, Kroatien, EU. http://hdl.handle.net/20.500.12708/118094 ( reposiTUm)
Hubalek, F. (2006). Simple Explicit Variance-Optimal Hedging for Path-Dependent and Multi-Asset Derivatives. Stochastic Analysis Seminar, University of Oslo, Norway, EU. http://hdl.handle.net/20.500.12708/118130 ( reposiTUm)
Hubalek, F. (2006). On three methods to compute a series expansion for infinitely divisible probability distributions from their Levy measure. Conference on Stochastics in Science - CIMAT, Guanajuato, Mexico, Non-EU. http://hdl.handle.net/20.500.12708/118129 ( reposiTUm)
Hubalek, F. (2006). On the simulation of moderately tractable infinitely divisible distributions. Annual CAF member’s meeting, Sandbjerg Gods, Denmark, EU. http://hdl.handle.net/20.500.12708/118131 ( reposiTUm)
Hubalek, F. (2004). Questions and remarks related to the small time behaviour of a Lévy process semigroup. Workshop on Lévy Processes and Bases: Theory and Applications, University of Aarhus, Denmark, Austria. http://hdl.handle.net/20.500.12708/116535 ( reposiTUm)
Hubalek, F. (2003). Variance-optimal hedging and Markovitz-efficient portfolios for processes with stationary independent increments - some new results. CAF Finance Seminar, University of Aarhus, Denmark, Austria. http://hdl.handle.net/20.500.12708/116420 ( reposiTUm)
Hubalek, F., Klein, I., & Teichmann, J. (2002). A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall. 16th Austrian Working Group on Banking and Finance, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/117172 ( reposiTUm)
Hubalek, F. (2002). Über die Simulation von mässig gut handhabbaren unbeschränkt teilbareren Verteilungen und Levy-Prozessen. Graduiertenkolleg Angewandte Algorithmische Mathematik (GKAAM), TU Munich, Germany, Austria. http://hdl.handle.net/20.500.12708/116096 ( reposiTUm)
Hubalek, F. (2002). From Levy Processes to Semimartingales - Recent Theoretical Developments and Applications to Finance. Series of Lectures at Summer School organized jointly by CAF, DYNSTOCH and MaPhySto, University of Aarhus, Denmark, Austria. http://hdl.handle.net/20.500.12708/116095 ( reposiTUm)
Hubalek, F. (2002). A zoo of special functions and probability distributions arising in the study and implementation of stochastic volatility models. SFB Workshop, Stochastic volatility and risk management - temporal and spatial dependence, LMU Munich, Germany, Austria. http://hdl.handle.net/20.500.12708/116093 ( reposiTUm)
Hubalek, F. (2002). On option pricing with Levy driven Ornstein-Uhlenbeck type volatility and multivariate extensions --- theory and implementation. Miniworkshop on Stochastic Analysis and Finance, University of Jyväskylä, Finland, Austria. http://hdl.handle.net/20.500.12708/116092 ( reposiTUm)
Hubalek, F. (2002). Stochastic volatility modeling with Ornstein Uhlenbeck processes driven by Levy processes. Seminar Stochastic Models and Finance Ecole Polytechnique, Palaiseau, France, Austria. http://hdl.handle.net/20.500.12708/116094 ( reposiTUm)
Hubalek, F. (2001). Some analytical and numerical aspects of option pricing in Ornstein-Uhlenbeck based stochastic volatility models. MaPhySto and CAF Meeting on Mathematical Finance, University of Aarhus, Denmark, Austria. http://hdl.handle.net/20.500.12708/116956 ( reposiTUm)
Hubalek, F. (2001). On multivariate extensions of Lévy process driven Ornstein-Uhlenbeck type stochastic volatility models and multi-asset options. First SIAM-EMS Conference Applied Mathematics in our Changing World (AMCW), Berlin, Germany, Austria. http://hdl.handle.net/20.500.12708/116955 ( reposiTUm)
Hubalek, F. (2001). The development of a computational library for Lévy processes and OU based SV. Workshop on Levy processes, stochastic volatility and realised power variation, Nuffield College, Oxford, UK, Austria. http://hdl.handle.net/20.500.12708/116954 ( reposiTUm)
Hubalek, F. (2001). Introduction to Stochastic Volatility Models. FAM-Seminar: AKVFM Ausgewählte Kapitel der Stochastik, discussion on the book “Derivatives in Financial Markets with Stochastic Volatility” by Fouque, Papanicolaou and Sircar, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/117033 ( reposiTUm)
Hubalek, F. (2000). On option pricing in Ornstein-Uhlenbeck based stochastic volatility models. Berlin Workshop on Mathematical Finance for Young Researchers, Humboldt University, Berlin, Germany, Austria. http://hdl.handle.net/20.500.12708/116957 ( reposiTUm)
Hubalek, F. (2000). A review of option pricing in non-Gaussian Ornstein-Uhlenbeck based stochastic volatility models and related questions. SFB Symposium Stochastic Volatility and Lévy Processes, University of Economics and Business Administratia, Austria. http://hdl.handle.net/20.500.12708/116958 ( reposiTUm)
Hubalek, F. (2000). On Lévy Processes and Other Semimartingales in Mathematical Finance. Laboratory of Actuarial Mathematics, University of Copenhagen, Denmark, Austria. http://hdl.handle.net/20.500.12708/116959 ( reposiTUm)
Hubalek, F. (2000). On the Föllmer-Schweizer Decomposition and the Entropy Minimizing Martingale Measure for Log-Levy Processes. Department of Mathematical Sciences, University of Aarhus, Denmark, Austria. http://hdl.handle.net/20.500.12708/116992 ( reposiTUm)
Hubalek, F. (2000). Stochastic Finance Economy: Motivation and Summary, Event-tree Commodity Space, Stochastic Exchange Economy, Stochastic Financial Markets, Absence of Arbitrage, Complete and Incomplete Markets. FAM-Seminar: Equilibrium Theory of Incomplete Markets, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/117038 ( reposiTUm)
Hubalek, F. (2000). Production in a Finance Economy: Motivation and Summary, Characteristics of Production Economy, Sole Proprietorships. FAM-Seminar: Equilibrium Theory of Incomplete Markets, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/117037 ( reposiTUm)
Hubalek, F. (1999). On hedging for exponential Lévy processes. Mathematicas Financieras (Meeting of the Mexican Academy of Sciences), Mexico City, Mexico, Austria. http://hdl.handle.net/20.500.12708/116953 ( reposiTUm)
Hubalek, F. (1999). On bucket digital trees, contiguity and weak convergence of asset price processes, and the entropy minimizing martingale measure. Centro de Investigacion en Matematicas (CIMAT), Guanajuato, Mexico, Austria. http://hdl.handle.net/20.500.12708/116951 ( reposiTUm)
Hubalek, F. (1999). Equivalent martingale measures and classical asymptotic statistics for generalized hyperbolic distributions. Seminar on Mathematical Stochastic (Finance and Statistics), Oberwolfach, Germany, Austria. http://hdl.handle.net/20.500.12708/116952 ( reposiTUm)
Hubalek, F. (1999). Über die Brownsche Bewegung, Levy-Prozesse und andere Semimartingale in der stochastischen Finanzmathematik. Lecture Series “Wissenswertes aus der Mathematik,” TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/117040 ( reposiTUm)
Hubalek, F. (1999). Explizite Föllmer-Schweizer Zerlegung und varinazoptimale Hedging-Strategien für Levy Prozesse. 7th Meeting of Austrian Mathematicians, Graz, Austria, Austria. http://hdl.handle.net/20.500.12708/116899 ( reposiTUm)
Hubalek, F. (2008). On optimal strategies and Lévy process-driven models in mathematical finance and insurance mathematics [Professorial Dissertation, Technische Universität Wien]. reposiTUm. http://hdl.handle.net/20.500.12708/183606 ( reposiTUm)
