93 citations · 124 across the 16 of their papers we have counts for
9 papers · 1 filter
Unparalleled instances of prolifickness, random walks, and square root boundaries
Stefan Gerhold, Friedrich Hubalek
We revisit the problem of influencing the sex ratio of a population by subjecting reproduction of each family to some stopping rule. As an easy consequence of the strong law of lar…
Convergence of Optimal Expected Utility for a Sequence of Binomial Models
Friedrich Hubalek, Walter Schachermayer
We analyze the convergence of expected utility under the approximation of the Black-Scholes model by binomial models. In a recent paper by D. Kreps and W. Schachermayer a surprisin…
On binomial order avalanches
Friedrich Hubalek, Dragana Radojicic
This paper introduces a discrete limit order book model where new orders are placed with a fixed displacement from the mid-price. Further, the trade event occurs whenever the mid-p…
The running maximum of the Cox-Ingersoll-Ross process with some properties of the Kummer function
Stefan Gerhold, Friedrich Hubalek, Richard B. Paris
We derive tail asymptotics for the running maximum of the Cox-Ingersoll-Ross process. The main result is proved by the saddle point method, where the tail estimate uses a new monot…
A convergent series representation for the density of the supremum of a stable process
Friedrich Hubalek, Alexey Kuznetsov
We study the density of the supremum of a strictly stable Lévy process. We prove that for almost all values of the index -- except for a dense set of Lebesgue measure zero -- t…
Probability measures, Lévy measures and analyticity in time
Ole E. Barndorff-Nielsen, Friedrich Hubalek
We investigate the relation of the semigroup probability density of an infinite activity Lévy process to the corresponding Lévy density. For subordinators, we provide three methods…
Old and new examples of scale functions for spectrally negative Levy processes
F. Hubalek, A. E. Kyprianou
We give a review of the state of the art with regard to the theory of scale functions for spectrally negative Levy processes. From this we introduce a general method for generating…
Variance-optimal hedging for processes with stationary independent increments
Friedrich Hubalek, Jan Kallsen, Leszek Krawczyk
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although…
A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall
Friedrich Hubalek, Irene Klein, Josef Teichmann
A general proof of the Dybvig-Ingersoll-Ross Theorem on the monotonicity of long forward rates is presented. Some inconsistencies in the original proof of this theorem are discusse…