Concepedia
Statistics
Publications
12
Citations
483
H-Index
Active since
1998
Affiliations
TU Wien(Current)
Politecnico di Milano
University of Vienna
Friedrich Hubalek is an author at TU Wien specializing in asset pricing, engineering, and business.
Top concepts
FinanceBusinessEngineeringAsset PricingProbabilityOption PricingMultivariate Stochastic VolatilityStatisticsQuantitative FinanceEconomics
Publications per year
1998–2016
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
Friedrich Hubalek, Carlo Sgarra§ · Quantitative Finance · 2006 · 112 citations · Full text
Engineering, Exponential Processes, Entropy +9
A GENERAL PROOF OF THE DYBVIG‐INGERSOLL‐ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
Friedrich Hubalek, Irene Klein, Josef Teichmayn · Mathematical Finance · 2002 · 60 citations
Physics, Integrable Probability, Long Foraard Rates +6
THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS
Friedrich Hubalek, Walter Schachermayer · International Journal of Theoretical and Applied Finance · 2001 · 54 citations
Option Pricing, Portfolio Optimization, Computational Finance +11
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
Friedrich Hubalek, Walter Schachermayer · Insurance Mathematics and Economics · 2004 · 53 citations
Economics, Computational Finance, Asset Pricing +8
When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?
Friedrich Hubalek, Walter Schachermayer · Mathematical Finance · 1998 · 43 citations
Option Pricing, Black-scholes Model, Asset Pricing +13
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