Person profile

Ao.Univ.Prof. Dipl.-Ing. Dr.techn.

Friedrich Hubalek

Phone +43 1 58801 10513

E-Mailfriedrich.hubalek@tuwien.ac.at

Assigned

E105-05

Business Card

Research area

Name	Management/Member
Forschungsbereich Stochastische Finanz- und Versicherungsmathematik	Member

Profile

Research profile (German):

Stochastische Finanz- und Versicherungsmathematik, Verbindung und Entwicklung von den abstrakten Theorien zu konkreten Modellen bis hin zu numerischen Illustrationen und Implementierungen, verwandte Gebiete speziell Ökonometrie und Statistik,

Research profile (English):

Stochastic Financial and Actuarial Mathematics, connection and development of abstract theories to concrete models to numerical illustrations and implementations related areas specifically Econometrics and Statistics,

Additional information:

Publikationsliste: http://www.fam.tuwien.ac.at/~fhubalek/publications.html

Link to CV:

http://www.fam.tuwien.ac.at/~fhubalek/

Publications:

Publications

Keywords

Keyword (German)	Keyword (English)
Lévy Prozesse	Lévy processes
Stochastische Volatilität mit Sprüngen	stochastic volatility with jumps
Order Book Modellierung	Order Book Modelling
Martingalmethoden	martingale methods
Finanzmathematik und ihre Anwendungen	mathematical finance and its applications
Anwendungen von Exkursionstheorie	applications of excursion theory
Numerische Methoden der Finanz- und Versicherungsmathematik	numerical methods of financial and actuarial mathematics
Optionsbewertung	option pricing
Ornstein-Uhlenbeck-Prozess	Ornstein-Uhlenbeck process
Stochastische Finanzmathematik	stochastic financial mathematics
Ökonometrie von von Prozessen in stetiger Zeit mit diskreten Beobachtungen	econometrics of discretely observed continuous time processes

Research Focal Areas

Research focus	Research field	Keywords	Percentage
Additional Fields of Research	Mathematical Methods in Economics	Mathematical Economics, Financial Mathematics, Actuarial Mathematics, Dependence Modelling, Optimization in Risk and Ruin Theory, Credit Risk Models, Interest Rate Modelling, Transaction Costs, Risk Measures and Risk Capital Allocation, Levy Processes, Large Deviations, Extreme Value Theory, Asymptotic Methods, Econometrics, Time Series Analysis, Dynamic Macroeconomics, Population Economics, Agent Based Computational Modeling, Operations Research, Optimization, Control Systems, Dynamic Games	60
Additional Fields of Research	Fundamental Mathematics Research	Theory of Partial Differential Equations, Analysis of dynamical Systems, Operator Theory, Applied Functional Analysis, Harmonic analysis, Algebra and Discete Mathematics, Logic, Discrete and Convex Geometry, Geometric Analysis, Differential Geometry, Economics (basics), Extremal Problems, Systems and Control Theory, Stochastic Processes, Mathematical Stochastics, Statistical Modeling, statistical methods for fuzzy data, Robust Statistics	40

Faculty focus

Faculty focus	Percentage
Wirtschaftsmathematik und Stochastik	100

Area of expertise according to Statistik Austria

Code	Area of expertise (German)	Area of expertise (English)
1165	Stochastik	Stochastics
1115	Technische Mathematik	Technical mathematics
1118	Wahrscheinlichkeitstheorie	Probability theory
1918	Risikoforschung	Risk research
1117	Versicherungsmathematik	Actuarial mathematics
1113	Mathematische Statistik	Mathematical statistics
1137	Finanzmathematik	Financial mathematics
1114	Numerische Mathematik	Numerical mathematics

Reference Projects

Title	Funding program	Function	Website	From	Until
National, FFG - österreichische Forschungsförderungsgesellschaft
Christian Doppler Laboratory for Portfolio Risk Management (PRisMa Lab)	Strukturprogramm		http://www.prismalab.at/index....	01.10.2005	31.12.2013

Membership in committee

Committee	Description	Location	Function	From-To	Comment
Gremien an der TU Wien	Fakultätsrat	Österreich	Member	01/2020 -

Journal participation

Title	Classification	Referenced	Function	From-To
European Journal of Operational Research	SCI (Science Citation Index)	Yes	Reviewer	01/2011 - 12/2011
Finance and Stochastics	SCI (Science Citation Index)	Yes	Reviewer	01/2010 - 12/2010
Journal of Applied Probability	SCIE (Science Citation Index Expanded)	Yes	Reviewer	01/2010 - 12/2011
Journal of Functional Analysis	SCI (Science Citation Index)	Yes	Reviewer	01/2009 - 12/2009
Journal of Industrial and Management Optimization	SCI (Science Citation Index)	Yes	Reviewer	01/2011 - 12/2011
Mathematical Finance	SCI (Science Citation Index)	Yes	Reviewer	01/2009 - 12/2010
Quantitative Finance	SCIE (Science Citation Index Expanded)	Yes	Reviewer	01/2009 - 12/2010
Stochastic Processes and Applications	SCI (Science Citation Index)	Yes	Reviewer	01/2011 - 12/2011

Events / Conferences

Category	Collaboration	Event name	From	Until	Function/Comments
Postgraduale Lehrgänge/Summer School	eingeladene_r Sprecher_in	Summer School organized jointly by CAF, DYNSTOCH and MaPhySto, University of Aarhus, Denmark	08/2002	08/2002	"From Levy Processes to Semimartingales - Recent Theoretical Developments and Applications to Finance"; Vortragsreihe,
Postgraduale Lehrgänge/Summer School	eingeladene_r Sprecher_in	Gastprofessur im Rahmen des Erasmus Teaching Staff Exchange am Dipartimento di Matematica "Francesco Brioschi", Politecnico di Milano, Italy	11/2014	12/2014	Gastprofessur
Postgraduale Lehrgänge/Summer School	eingeladene_r Sprecher_in	Summer School in Economics and Finance, Canazei	01/2013	01/2013	Vortrag
Postgraduale Lehrgänge/Summer School	eingeladene_r Sprecher_in	SFB Workshop, Stochastic volatility and risk management - temporal and spatial dependence, LMU Munich, Germany,	12/2002	12/2002	Vortrag: "A zoo of special functions and probability distributions arising in the study and implementation of stochastic volatility models" ; (06.12.2002)
Postgraduale Lehrgänge/Summer School	eingeladene_r Sprecher_in	Berlin Workshop on Mathematical Finance for Young Researchers, TU & HU Berlin, Germany (30.11.2000)	11/2000	11/2000	Vortrag: "On option pricing in Ornstein-Uhlenbeck based stochastic volatility models";
Postgraduale Lehrgänge/Summer School	eingeladene_r Sprecher_in	University of Jyväskylä, Finland (28.05.2002)	05/2002	05/2002	Vortrag: "On option pricing with Levy driven Ornstein-Uhlenbeck type volatility and multivariate extensions --- theory and implementation"; Miniworkshop on Stochastic Analysis and Finance,
Postgraduale Lehrgänge/Summer School	Sonstiges		02/2004	02/2004	Vortrag: "Questions and remarks related to the small time behaviour of a Lévy process semigroup"; Workshop on Lévy Processes and Bases: Theory and Applications, University of Aarhus, Denmark (27.02.2004)
Postgraduale Lehrgänge/Summer School	Sonstiges		12/2001	12/2001	Vortrag: "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 (05.12.2001)
Wissenschaftliche Konferenz/Symposium	Sonstiges		07/2009	07/2009	Member of Scientific Comitee: "Analysis, Stochastics, and Applications - A Conference in Honour of Walter Schachermayer"; University of Vienna, July 12-16, 2009; http://www.mat.univie.ac.at/anstap10/
Wissenschaftliche Konferenz/Symposium	Organisator_in	XV Workshop on Quantitative Finance, Firenze	01/2014	01/2014	Mitglied des Scientific Commitee
Wissenschaftliche Konferenz/Symposium	Organisator_in	XIV Workshop on Quantitative Finance, University of Bolgna, Rimnini Campus	01/2013	01/2013	Mitglied des Scientific Commitee
Wissenschaftliche Konferenz/Symposium	Organisator_in	4th Austrian Stochastics Days	09/2015	09/2015	Organisation
Wissenschaftliche Konferenz/Symposium	Organisator_in	"The interplay between Financial and Insurance Mathematics, Statistics and Econometrics", Thematic program at the Wolfgan Pauli Institute (WPI) Vienna	01/2010	01/2010	Organisation
Wissenschaftliche Konferenz/Symposium	Organisator_in	Conference on Numerical Methods for American and Bermudan Options, Vienna	10/2008	10/2008	Organisation
Wissenschaftliche Konferenz/Symposium	Organisator_in	Analysis, Stochastics, and Applications- A conference in Honour of Walter Schachermayer, Vienna	07/2010	07/2010	Organisation
Wissenschaftliche Konferenz/Symposium	Organisator_in	Oberwolfbacher-Seminar Stochastic Modelling and Statistics in Finacne; with Applications	10/2003	10/2003	Organisation