Hubalek, Friedrich

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Hubalek, Friedrich
 
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Own Publications Eigene Publikationen

Results 41-60 of 102 (Search time: 0.005 seconds).

PreviewAuthor(s)TitleTypeIssue Date
41Hubalek, Friedrich On the Esscher transforms, minimum entropy, and other equivalent martingale measures: From exponential Levy models to a stochastic volatility models with jumpsPräsentation Presentation2008
42Hubalek, Friedrich Some aspects of Levy LIBOR market modelsPräsentation Presentation2008
43Hubalek, Friedrich On Fourier methods for simple, multi-asset, and path-dependent options / accuracy and efficiencyPräsentation Presentation2008
44Hubalek, Friedrich Some aspects of Libor market models with jumpsPräsentation Presentation2008
45Hubalek, Friedrich Explicit Variance-Optimal Hedging for independent increments and related problemsPräsentation Presentation2008
46Hubalek, Friedrich Some aspects of Libor market models with jumpsPräsentation Presentation2008
47Hubalek, Friedrich On optimal strategies and Levy process-driven models in mathematical finance and insurance mathematics - Variance-optimal hedgingPräsentation Presentation2008
48Barndorff-Nielsen, Ole E. ; Hubalek, Friedrich Probability measures, Lévy measures and analyticity in timeArtikel Article2008
49Hubalek, Friedrich On optimal strategies and Lévy process-driven models in mathematical finance and insurance mathematicsThesis Hochschulschrift2008
50Hubalek, Friedrich On small- and large-time expansions for Levy semigroups on the real linePräsentation Presentation2007
51Hubalek, Friedrich On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility modelsPräsentation Presentation2007
52Hubalek, Friedrich Explicit formulas for pricing and variance-optimal hedging of multi-asset and path dependent options in affine modelsPräsentation Presentation2007
53Hubalek, Friedrich On precision and efficienciy of slow and fast Fourier transform for simple, multi-asset, and path-dependent optionsPräsentation Presentation2007
54Grandits, Peter ; Hubalek, Friedrich ; Schachermayer, Walter ; Žigo, Mislav Optimal expected exponential utility of dividend payments in a Brownian risk modelArtikel Article2007
55HUBALEK, FRIEDRICH ; SGARRA, CARLO Quadratic Hedging For The Bates ModelArtikel Article2007
56Hubalek, Friedrich On Tractable Finite-Activity Lévy Libor Market ModelsPräsentation Presentation2007
57Hubalek, Friedrich Simple Explicit Variance-Optimal Hedging for Path-Dependent and Multi-Asset DerivativesPräsentation Presentation2006
58Hubalek, Friedrich On the simulation of moderately tractable infinitely divisible distributionsPräsentation Presentation2006
59Hubalek, Friedrich Explicit variance optimal hedging for assets with stationary independent increments with some applicationsPräsentation Presentation2006
60Hubalek, Friedrich On three methods to compute a series expansion for infinitely divisible probability distributions from their Levy measurePräsentation Presentation2006

Contributing Publications Mitbeteiligte Publikationen

Results 41-51 of 51 (Search time: 0.002 seconds).

PreviewAuthor(s)TitleTypeIssue Date
41Mitterhuber, Jürgen Eine Studie über die Verwendung von Lévy-Prozessen im quantitativen RisikomanagementThesis Hochschulschrift2012
42Orthofer, Andrea Anforderungen an Risikomaße zur Risikobewertung unter Solvency IIThesis Hochschulschrift2012
43Stoyanov, Dilyan Numerics of the Lévy-driven Heath-Jarrow-Morton model of interest rate theoryThesis Hochschulschrift2012
44Zimmermann, Karin Liquiditätsrisiko Modell zur Messung und SteuerungThesis Hochschulschrift2012
45Kahramantürk, Kivanc Bewertung von exotischen Optionen im Binomialmodell mit Shortselling-ConstraintsThesis Hochschulschrift2012
46Kampl, Gottfried Kapitalallokation und Prämienkalkulation mittels elliptischem Copula-TiltingThesis Hochschulschrift2010
47Mayer, Annemarie Antonia Bondoptionen im Risikomanagement der Generali Versicherung AGThesis Hochschulschrift2009
48Brehovsky, Iris Sensitivitätsanalysen zum New Business ValueThesis Hochschulschrift2009
49Nagel, Peter Volatility modeling and volatility swapsThesis Hochschulschrift2009
50Gasser, Hans-Christof Optimal expected exponential utility of dividend payment in a random walk risk modelThesis Hochschulschrift2009
51Szepesi, Eva An evaluation of Fourier methods in risk theoryThesis Hochschulschrift2008