Publications and Talks


Journal articles

  • Hitaj, A., Hubalek, F., Mercuri, L., and Rroji, E. (2018) On Properties of the MixedTS Distribution and Its Multivariate Extension. International Statistical Review, doi: 10.1111/insr.12265. (online)
  • Friedrich Hubalek and Petra Posedel, Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach, Glasnik Matematicki, Vol. 48, No. 1 (2013), 185-210. (online)
  • Friedrich Hubalek and Carlo Sgarra, On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps Journal of Computational and Applied Mathematics, Volume 235, Issue 11, 1 April 2011, Pages 3355-3365 (online)
  • Friedrich Hubalek and Petra Posedel, Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models Quantitative Finance, Volume 11, Issue 6, 2011, pages 917-932.
  • Friedrich Hubalek and Andreas E. Kyprainou, Old and new examples of scale functions for spectrally negative Levy processes, Seminar on Stochastic Analysis, Random Fields and Applications VI, 119-146, Progress in Probability, Vol. 63 Dalang, Robert; Dozzi, Marco; Russo, Francesco (Eds.), Springer Basel, 2011 (online)
  • Friedrich Hubalek and Alexey Kuznetsov, A convergent series representation for the density of the supremum of a stable process Abstract | PDF Pages: 84-95, Electronic Communications in Probability 16, 84-95, 2011. Abstract
  • On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps by Friedrich Hubalek and Carlo Sgarra. Stochastic Processes and their Applications, Volume 119, Issue 7, Pages 2137-2157 (July 2009)
  • Probability Measures, Levy Measures, and Analyticity in Time, by Ole E. Barndorff-Nielsen and Friedrich Hubalek, Bernoulli 2008, Volume 14, Number 3. (online)
  • Optimal expected exponential utility of dividend payments in a Brownian risk model, by Peter Grandits, Friedrich Hubalek, Walter Schachermayer, and Mislav Zigo. Scandinavian Actuarial Journal, Volume 2007, Issue 2, pages 73-107, 2007.
  • Quadratic hedging for the Bates model, by Friedrich Hubalek and Carlo Sgarra. International Journal of Theoretical and Applied Finance, Volume 10, Number 5, Pages 873-885, 2007.
  • Esscher transforms and the minimal entropy martingale measure for exponential Levy models by Friedrich Hubalek and Carlo Sgarra. Quantitative Finance 2006, Volume 6, Issue 2.
  • Friedrich Hubalek, Jan Kallsen, and L. Krawczyk, Variance-optimal hedging for processes with stationary independent increments Annals of Applied Probability Volume 16, Number 2, 853-885, 2006. (electronic reprint)
  • F. Hubalek and W. Schachermayer, Optimizing Expected Utility of Dividend Payments for a Brownian Risk Process and a Peculiar Nonlinear ODE, Insurance: Mathematics and Economics 34 (2004), 193-225.
  • F. Hubalek, I. Klein, and J. Teichmann, A general proof of the Dybvig-Ingersoll-Ross theorem: long forward rates can never fall. Math. Finance 12 (2002), no. 4, 447-451.
  • F. Hubalek, H. K. Hwang, W. Lew, H. Mahmoud, and H. Prodinger, A multivariate view of random bucket digital search trees, Journal of Algorithms 44 (2002), 121-158.
  • F. Hubalek, and W. Schachermayer, The limitations of no-arbitrage arguments for real options. Int. J. Theor. Appl. Finance 4 (2001), no. 2, 361-373.
  • F. Hubalek, On the variance of the internal path length of generalized digital trees--the Mellin convolution approach. Theoret. Comput. Sci. 242 (2000), no. 1-2, 143-168.
  • F. Hubalek, and W. Schachermayer, When does convergence of asset price processes imply convergence of option prices? Math. Finance 8 (1998), no. 4, 385-403. (Link)

    • Other publications, preprints, etc.

  • Friedrich Hubalek and Petra Posedel, Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models Thiele Report 2007-05 (April 2007).
  • F. Hubalek, On a conjecture of Barndorff-Nielsen relating probability densities and Lévy densities, Proceedings of the 2nd MaPhySto Conference on Lévy Processes: Theory and Applications, MaPhySto Miscellanea No. 22 (August 2002) Ole E. Barndorff-Nielsen (ed.).
  • F. Hubalek and T. Hudetz, Convergence of minimum entropy option prices for weakly converging incomplete market models (abstract), Int. J. Theor. Appl. Finance Vol. 3, No. 3 (2000) 559-560.
  • F. Hubalek, On hedging for exponential Lévy processes.
    Extended Abstract for the Foro Matemáticas Financieras,
    Mexico City, December 1999.

    • Talks

  • Guest Lecture: Some special functions and equations arising from a simple binomial order book model Universität Innsbruck, Institut für Mathematik, Functional Analysis Group k, 17th September 2015, HSB 7
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  • Brownian excursion limits for the avalanche length in a binomial limit order book model Joint Austrian-Hungarian Mathematical Conference, Széchenyi István University, Győr, August 25, 2015
  • Some special functions and equations arising from a simple binomial order book model Tenth IMACS Seminar on Monte Carlo Methods (MCM 2015), Johannes Kepler University, Linz, July 8, 2015
  • On exact simulation of moderately tractable infinite activity Lévy processes and their exponential transform Semiar talkNational University of Mongolia, Ulaanbataar, June 17, 2015
  • Brownian excursion limits for the avalanche length in a binomial limit order book model Semiar talkNational University of Mongolia, Ulaanbataar, June 10 or 11, 2015 (CHECK!)
  • Brownian excursion limits for the avalanche length in a binomial limit order book model, 3rd Austrian Stochastics Days, Montanuniversität Leoben, Austria, Sep 24, 2014.
  • Graz Order book Conference
  • On exact simulation of moderately tractable infinite activity L\'evy processes and their exponential transform; Kolloquium, Innsbruck University, Sep 21, 2010.
  • Explicit variance-optimal hedging for processes with stationary and independent increments, Seminar, Innsbruck University, Sep 22, 2010.
  • Some statistical, analytical, and computational aspects of an affine stochastic volatility model with jumps April 15-16, 2010; Workshop Stochastic volatility, affine processes and transform methods, University of Rome "Tor Vergata".
  • On exact simulation of moderately tractable infinite activity Lévy processes and their exponential transform, 01/28/2010, XI Workshop on Quantitative Finance University of Palermo Department of Statistics and Mathematics ''Silvio Vianelli'' Palermo, Italy
  • "Old and new examples of scale functions for spectrally negative Levy processes and applications", ÖMG+DMV Kongress, Graz, 24. September 2009.
  • Seminar talks at the University of Jyvaeskylae, Finland; "Probability Measures, Levy Measures, and Analyticity in Time", December 16, 2008; "On the Esscher transforms, minimum entropy, and other equivalent martingale measures: From exponential Levy models to a stochastic volatility models with jumps", December 18, 2008.
  • 2008-09-29 Special Semester on Stochastics with Emphasis on Finance - Concluding Workshop, December 2-4, 2008, RICAM Linz, Austria; Research visit: December 3-4, 2008; "On trades, volume, and the martingale estimating function approach for stochastic volatility models with jumps", December 4, 2008.
  • 2008-09-29 On Trades, Volume, and the Martingale Estimating Function Approach for Stochastic Volatility Models with Jumps, PRisMa 2008, One-Day Workshop on Portfolio Risk Management organised by PRisMa Lab and FAM at TU-Wien.
  • 2008-04-11, Some aspects of Libor market models with jumps, Aarhus School of Business, University of Aarhus.
  • 2008-04-10, Fourier methods for simple, multi-asset, and path-dependent options / accuracy and efficiency Joint Thiele/CAF/D-CAF Seminar, University of Aarhus, Denmark.
  • 2008-01-24, IX Workshop on Quantitative Finance, University of Rome "Tor Vergata", Rom, Italy; "On Fourier methods for simple, multi-asset, and path-dependent options/accuracy and efficiency" January 24, 2008. Discussant for...
  • 2007-08-16, 5th International Conference on Levy Processes: Theory and Applications Copenhagen, August 13-17, 2007, "On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models".
  • 2007-06-28, Frankfurt MathFinance Colloquium "On Fourier methods for simple, multi-asset, and path dependent options and their Greeks - accuracy, efficiency, asymptotics", Frankfurt School of Finance and Management, Frankfurt, Germany.
  • 2007-04-18, Explicit formulas for pricing and variance-optimal hedging of multi-asset and path dependent options in affine models", Seminar talk, Politecnico di Milano.
  • 2007-02-16, Mini-Workshop: Levy Processes and Related Topics in Modelling, Mathematisches Forschungsintitut Oberwolfach, Germany, "On small and large time expansions of Levy semigroups on the real line".
  • 2006-11-30, Department of Mathematics, Faculty of Economics and Business, University of Zagreb, seminar "Explicit variance-optimal hedging for assets with stationary independent increments with some applications"
  • 03-10-2006, Centre of Mathematics for Applications (CMA) University of Oslo, Stochastic Analysis seminar "Simple Explicit Variance-Optimal Hedging for Path-Dependent and Multi-Asset Derivatives"
  • PRisMa 2006 - One-Day Workshop on Portfolio Risk Management 2006-09-26, Vienna University of Technology "Simple Explicit Variance-Optimal Hedging for Path-Dependent and Multi-Asset Derivatives"
  • "On three methods to compute a series expansion for infinitely divisible probability distributions from their Levy measure" March 24, 2006 Conference on Stochastics in Science in Honor of Ole E. Barndorff-Nielsen CIMAT, Guanajuato, Mexico, March 20-24, 2006
  • Copenhagen University Seminar i matematisk statistik og sandsynlighedsregning Some statistical, analytical, and computational aspects of the Barndorff-Nielsen-Shephard stochastic volatility model. Friday February 24, 2006 at 14:15. Place: Aud 10
  • On the simulation of moderately tractable infinitely divisible distributions, Annual CAF members' meeting, January 25-27, 2006 Sandbjerg Gods
  • On the minimal entropy martingale measure, the Esscher transform, and other changes of measure for Levy-driven asset price models with and without stochastic volatility, Munich University of Technology, April 21, 2005.
  • On the minimal entropy martingale measure, the Esscher transform, and other changes of measure for Levy-driven asset price models with and without stochastic volatility Dipartimento di Matematica per le Decisioni, University of Florence, April 6, 2005.
  • "Three remarks on the relation of probability and Levy densities, on the simulation of moderately tractable infinitely divisible distributions, and on explicit series expansions for some stochastic volatility models" Isaac Newton Institute for Mathematical Sciences, Developments in Quantitative Finance, Workshop on "Infinite Activity Processes", Cambridge, Jan 31-Feb 4, 2005.
  • Questions and remarks related to the small time behaviour of a Levy process semigroup Workshop on Levy Processes and Bases: Theory and Applications University of Aarhus, Feb 26-27, 2004.
  • Variance-optimal hedging and Markowitz-efficient portfolios for processes with stationary independent increments - some new results CAF Finance Seminar, August 25, 2003, University of Aarhus.
  • A zoo of special functions and probability distributions arising in the study and implementation of stochastic volatility models, SFB 386 Workshop, Stochastic volatility and risk management -- temporal and spatial dependence, Dezember 6, 2002, LMU Munich.
  • Über die Simulation von mäßig gut handhabbaren unbeschränkt teilbareren Verteilungen und Lévy-Prozessen, Kollegseminar im Graduiertenkolleg Angewandte Algorithmische Mathematik (GKAAM) November 11, 2002, TU Munich.
  • On option pricing with Lévy driven Ornstein-Uhlenbeck type volatility and multivariate extensions -- theory and implementation, Miniworkshop on Stochastic Analysis and Finance, May 28, 2002, University of Jyväskylä, Finnland.
  • On a conjecture of Barndorff-Nielsen relating probability and Lévy densities, 2nd MaPhySto Conference on Lévy Processes -- Theory and Applications, January 24, 2002, University of Aarhus, Denmark.
  • Stochastic volatility modeling with Ornstein-Uhlenbeck processes driven by Lévy processes, Seminar Stochastic Models and Finance, Ecole Polytechnique, Palaiseau, France, Jan 7, 2002.
  • 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. Dec 5, 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) 2001, Sept 4, 2001, Berlin.
  • 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, Jan 23, 2001.
  • On option pricing in Ornstein-Uhlenbeck based stochastic volatility models, Workshop on Mathematical Finance for Young Researchers, Berlin, Nov 30, 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 Vienna University of Economics and Business Administration, Sep 25, 2000.
  • On Lévy Processes and Other Semimartingales in Mathematical Finance. Laboratory of Actuarial Mathematics, University of Copenhagen, Feb 29, 2000.
  • On the Föllmer-Schweizer Decomposition and the Entropy Minimizing Martingale Measure for Log-Lévy Processes, Department of Mathematical Sciences, University of Aarhus, Feb 23, 2000.
  • Equivalent martingale measures and classical asymptotic statistics for generalized hyperbolic distributions, Mathematische Stochastik (Finance and Statistics), Oberwolfach, Germany, March 9, 1999.
  • On hedging for exponential Lévy processes, Mathematicas Financieras (Meeting of the Mexican Academy of Sciences), Mexico City, Dec 3, 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, Nov 29, 1999.
  • Explizite Föllmer-Schweizer Zerlegung und varinazoptimale Hedging-Strategien für Lévy Prozessese, 7. Österreichisches Mathematikertreffen, Graz, Austria, Sept 24, 1999.
  • On weak convergence, contiguity, and asymptotic arbitrage, Contributed talk at the Advanced Course on Stochastic Analysis, September 1997, Centre de Recerca Matemàtica (CRM), Bellaterra, Spain.
  • The unconditional distribution of returns and the impact of volatility clustring, 9. Workshop of the Austrian Working Group on Banking and Finance, Nov 1996, Graz, Austria.
  • Mellin convolutions in the analysis of bucket digital trees, Seminar Average case analysis of algorithms, Schloß Dagstuhl, Germany, July 3-7, 1995.