Jan Obloj 个人学术档案 - 学术资源搜索

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Alexander CoxUniversity of Bath在 bath.ac.uk 的电子邮件经过验证
Johannes WieselCarnegie Mellon University在 cmu.edu 的电子邮件经过验证
Xunyu ZhouLiu Family Professor of IEOR, Columbia University在 columbia.edu 的电子邮件经过验证
TOUZI NizarEcole Polytechnique在 polytechnique.edu 的电子邮件经过验证
Gregoire LoeperBNP Paribas Global Markets, Paris在 monash.edu 的电子邮件经过验证
Xue Dong HeThe Chinese University of Hong Kong在 se.cuhk.edu.hk 的电子邮件经过验证
Gaoyue GuoAssistant Professor, CentraleSupélec Université Paris-Scalay在 centralesupelec.fr 的电子邮件经过验证
Pietro SiorpaesImperial College London在 imperial.ac.uk 的电子邮件经过验证
Anna AksamitThe University of Sydney在 sydney.edu.au 的电子邮件经过验证
Samuel DrapeauShanghai Jiao Tong University在 saif.sjtu.edu.cn 的电子邮件经过验证
Tongseok Lim / 임동석Mitchell E. Daniels, Jr. School of Business, Purdue University在 purdue.edu 的电子邮件经过验证
Daniel BartlUniversity of Vienna在 univie.ac.at 的电子邮件经过验证
Mathias BeiglböckUniversität Wien在 univie.ac.at 的电子邮件经过验证
Maggis MarcoProfessore Associato, Dipartimento di Matematica, Università degli Studi di Milano在 unimi.it 的电子邮件经过验证
Marco FrittelliProfessor at Milano University在 unimi.it 的电子邮件经过验证
Matteo BurzoniUniversità degli studi di Milano在 unimi.it 的电子邮件经过验证
Ivan GuoSenior Lecturer, Monash University在 monash.edu 的电子邮件经过验证
Paolo GuasoniDublin City University and Università di Bologna在 dcu.ie 的电子邮件经过验证
Stephan EcksteinUniversity of Tübingen在 uni-tuebingen.de 的电子邮件经过验证
Tan XiaoluThe Chinese University of Hong Kong在 cuhk.edu.hk 的电子邮件经过验证

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Jan Obloj

Professor of Mathematics, University of Oxford

在 maths.ox.ac.uk 的电子邮件经过验证 - 首页

Mathematical Finance Probability theory Stochastic Analysis Martingale Optimal Transport Data-driven methods


标题按引用次数排序按年份排序按标题排序	引用次数引用次数	年份
The Skorokhod embedding problem and its offspring J Obłój	256	2004
Robust pricing and hedging of double no-touch options AMG Cox, J Obłój Finance and Stochastics 15, 573-605, 2011	146	2011
Fine-tune your smile: Correction to Hagan et al J Oblój arXiv preprint arXiv:0708.0998, 2007	108	2007
Arbitrage bounds for prices of weighted variance swaps M Davis, J Obłój, V Raval Mathematical Finance 24 (4), 821-854, 2014	102	2014
Computational methods for martingale optimal transport problems G Guo, J Obłój The Annals of Applied Probability 29 (6), 3311-3347, 2019	93	2019
Robust pricing–hedging dualities in continuous time Z Hou, J Obłój Finance and Stochastics 22 (3), 511-567, 2018	85	2018
Robust hedging of double touch barrier options AMG Cox, J Obloj SIAM Journal on Financial Mathematics 2 (1), 141-182, 2011	80	2011
The maximum maximum of a martingale with given n marginals P Henry-Labordere, J Obłój, P Spoida, N Touzi The Annals of Applied Probability, 1-44, 2016	75	2016
Pointwise arbitrage pricing theory in discrete time M Burzoni, M Frittelli, Z Hou, M Maggis, J Obłój Mathematics of Operations Research 44 (3), 1034-1057, 2019	69	2019
The incentives of hedge fund fees and high‐water marks P Guasoni, J Obłój Mathematical Finance 26 (2), 269-295, 2016	65	2016
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model V Cherny, J Obłój Finance and Stochastics 17, 771-800, 2013	55	2013
Pathwise inequalities for local time: applications to Skorokhod embeddings and optimal stopping AMG Cox, D Hobson, J Obłój	52	2008
The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach AMG Cox, J Obłój, N Touzi Probability Theory and Related Fields 173 (1), 211-259, 2019	43	2019
Market completion using options M Davis, J Obloj Advances in Mathematics of Finance 83, 49-60, 2008	43	2008
On Azéma–Yor processes, their optimal properties and the Bachelier–Drawdown equation L Carraro, N El Karoui, J Obłój	41	2012
Sensitivity analysis of Wasserstein distributionally robust optimization problems D Bartl, S Drapeau, J Obłój, J Wiesel Proceedings of the Royal Society A 477 (2256), 20210176, 2021	40*	2021
Dynamically consistent investment under model uncertainty: the robust forward criteria S Källblad, J Obłój, T Zariphopoulou Finance and Stochastics 22 (4), 879-918, 2018	40*	2018
Dual attainment for the martingale transport problem M Beiglböck, T Lim, J Obłój	36	2019
Robust pricing and hedging of options on multiple assets and its numerics S Eckstein, G Guo, T Lim, J Obłój SIAM Journal on Financial Mathematics 12 (1), 158-188, 2021	35	2021
The robust pricing–hedging duality for American options in discrete time financial markets A Aksamit, S Deng, J Obłój, X Tan Mathematical Finance 29 (3), 861-897, 2019	34	2019

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