Friedrich Hubalek

Finance · 2001–2007

A researcher in the Science corpus: 5 papers; trusts 26 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

• Finance — 46 citations into it; #5,487 of 10,518 by trust here, #4,039 by citations
• Management Science and Operations Research — 29 citations into it; #5,846 of 11,946 by trust here, #4,267 by citations
• Economics and Econometrics — 23 citations into it
• Mathematical Physics — 15 citations into it
• Demography — 7 citations into it
• Management Information Systems — 6 citations into it

Whom Friedrich Hubalek trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Andreas E. Kyprianou
2. Martijn Pistorius
3. Marco Frittelli
4. Søren Asmussen
5. Vincent Vigon
6. Wim Schoutens
7. Sebastian Raible
8. Rama Cont
9. Felix Esche
10. Amaury Lambert

Who trusts Friedrich Hubalek overall

1. Peter Tankov
2. Andreas E. Kyprianou
3. Alexey Kuznetsov
4. Damir Filipovi'c
5. Hansjörg Albrecher *
6. Ronnie Loeffen
7. Andrew J. G. Cairns
8. Alessandro Ramponi
9. Gianluca Fusai
10. Enrico Biffis

Papers from Friedrich Hubalek's perspective

Ordered by how strongly the researchers Friedrich Hubalek trusts endorse each paper. Same corpus, a different order for every researcher.

1. Introductory Lectures on Fluctuations of Lévy Processes with Applications
2. The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
3. Lévy Processes in Finance: Pricing Financial Derivatives
4. Optimal investment in incomplete markets when wealth may become negative
5. Ruin probabilities (Advanced Series on Statistical Science & Applied Probability)
6. Ruin probabilities and overshoots for general Lévy insurance risk processes
7. Processes of normal inverse Gaussian type
8. Financial Modelling with Jump Processes
9. Lévy Processes in Finance
10. On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts

Their papers

• Old and New Examples of Scale Functions for Spectrally Negative Levy Processes (2007) — 120 citations
• Optimizing Expected Utility of Dividend Payments for a Brownian Risk Process and a Peculiar Nonlinear ODE (2004) — 50 citations
• A GENERAL PROOF OF THE DYBVIG‐INGERSOLL‐ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL (2001) — 65 citations
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (2006) — 115 citations
• Variance-Optimal Hedging for Processes with Stationary Independent Increments (2006) — 126 citations