フォロー
Jan Obloj
タイトル
引用先
引用先
年
The Skorokhod embedding problem and its offspring
J Obłój
2572004
Robust pricing and hedging of double no-touch options
AMG Cox, J Obłój
Finance and Stochastics 15, 573-605, 2011
1472011
Fine-tune your smile: Correction to Hagan et al
J Oblój
arXiv preprint arXiv:0708.0998, 2007
1082007
Arbitrage bounds for prices of weighted variance swaps
M Davis, J Obłój, V Raval
Mathematical Finance 24 (4), 821-854, 2014
1042014
Computational methods for martingale optimal transport problems
G Guo, J Obłój
The Annals of Applied Probability 29 (6), 3311-3347, 2019
962019
Robust pricing–hedging dualities in continuous time
Z Hou, J Obłój
Finance and Stochastics 22 (3), 511-567, 2018
872018
Robust hedging of double touch barrier options
AMG Cox, J Obloj
SIAM Journal on Financial Mathematics 2 (1), 141-182, 2011
812011
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
772016
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
712019
The incentives of hedge fund fees and high‐water marks
P Guasoni, J Obłój
Mathematical Finance 26 (2), 269-295, 2016
672016
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
V Cherny, J Obłój
Finance and Stochastics 17, 771-800, 2013
552013
Pathwise inequalities for local time: applications to Skorokhod embeddings and optimal stopping
AMG Cox, D Hobson, J Obłój
522008
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
47*2021
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
452019
Market completion using options
M Davis, J Obloj
Advances in Mathematics of Finance 83, 49-60, 2008
442008
Dynamically consistent investment under model uncertainty: the robust forward criteria
S Källblad, J Obłój, T Zariphopoulou
Finance and Stochastics 22 (4), 879-918, 2018
43*2018
On Azéma–Yor processes, their optimal properties and the Bachelier–Drawdown equation
L Carraro, N El Karoui, J Obłój
412012
Dual attainment for the martingale transport problem
M Beiglböck, T Lim, J Obłój
372019
Pathwise stochastic calculus with local times
M Davis, J Obłój, P Siorpaes
37*2018
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
362021
現在システムで処理を実行できません。しばらくしてからもう一度お試しください。
論文 1–20