# 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
--
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.