We present a new method to compute the electronic structure of correlated materials combining the hybrid functional method with the dynamical mean-field theory. As a test example of the method we study cerium sesquioxide, a strongly correlated Mott-band insulator. The hybrid functional part improves the magnitude of the pd-band gap which is underestimated in the standard approximations to density functional theory while the dynamical mean-field theory part splits the 4f-electron spectra into a lower and an upper Hubbard band.