Jan Obłój

University of Oxford - Mathematical Institute

Professor of Mathematics

AWB, ROQ, Woodstock Rd

Oxford, OX2 6GG

United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

University of Oxford - Saint John's College

Tutor and Fellow in Mathematics

St Giles

Oxford, Oxon OX1 3JP

United Kingdom

  • University of Oxford - Mathematical Institute

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

  • University of Oxford - Saint John's College

SCHOLARLY PAPERS

9

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987

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11

CROSSREF CITATIONS

26

Scholarly Papers (9)

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1.

Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model

Number of pages: 15 Posted: 08 Dec 2014 Last Revised: 16 Jun 2016
Xue Dong He, Sang Hu, Jan Obłój and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shenzhen, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 292 (121,836)
Citation 1

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casino gambling; cumulative prospect theory; path-dependence; randomized strategies; quasi-convexity; optimal stopping

2.

Maximum Maximum of Martingales Given Marginals

Number of pages: 35 Posted: 01 Apr 2012 Last Revised: 10 Apr 2013
Pierre Henry-Labordere, Jan Obłój, Peter Spoida and Nizar Touzi
Natixis - Paris, France, University of Oxford - Mathematical Institute, University of Oxford and Ecole Polytechnique, Paris
Downloads 229 (155,665)
Citation 9

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Optimal control, robust pricing and hedging, volatility uncertainty, optimal transportation, pathwise inequalities, lookback option

3.

Optimal Exit Time from Casino Gambling: Strategies of Pre-Committed and Naive Gamblers

Number of pages: 26 Posted: 31 Oct 2015 Last Revised: 28 Mar 2019
Xue Dong He, Sang Hu, Jan Obłój and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shenzhen, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 218 (163,203)
Citation 1

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casino gambling, cumulative prospect theory, optimal stopping, pre-committed gamblers, naive gamblers, optimal strategies

4.

Joint Modelling and Calibration of SPX and VIX by Optimal Transport

Number of pages: 30 Posted: 28 Apr 2020 Last Revised: 11 Sep 2020
Ivan Guo, Gregoire Loeper, Jan Obłój and Shiyi Wang
Monash University - School of Mathematical Sciences, Monash University - School of Mathematical Sciences, University of Oxford - Mathematical Institute and Monash University - School of Mathematics
Downloads 96 (314,952)
Citation 1

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Optimal Transport, Volatility calibration, S&P 500, VIX, Joint Calibration

5.

Supplementary Materials: Optimal Exit Time from Casino Gambling: Strategies of Pre-Committed and Naive Gamblers

Number of pages: 30 Posted: 03 Nov 2015 Last Revised: 28 Mar 2019
Xue Dong He, Sang Hu, Jan Obłój and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shenzhen, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 64 (398,437)
Citation 3

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6.

Time-Consistent Investment Under Model Uncertainty: The Robust Forward Criteria

Number of pages: 41 Posted: 15 Nov 2013
Sigrid Källblad, Jan Obłój and Thaleia Zariphopoulou
Vienna University of Technology, University of Oxford - Mathematical Institute and University of Texas at Austin - Red McCombs School of Business
Downloads 54 (432,631)
Citation 8

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ambiguity averse portfolio selection, forward investment performance, time-consistency, robust control, model uncertainty, preferences amiguity

7.

Robust Estimation of Superhedging Prices

Annals of Statistics, Forthcoming
Number of pages: 52 Posted: 30 Apr 2020
Jan Obłój and Johannes Wiesel
University of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Downloads 25 (567,924)

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superhedging price, risk measures, statistical estimation, consistency, robustness, stock returns, Wasserstein metric, pricing-hedging duality, empirical measure

8.

When to Quit Gambling, if You Must!

Number of pages: 50 Posted: 16 Feb 2021
Sang Hu, Jan Obłój and Xun Yu Zhou
The Chinese University of Hong Kong, Shenzhen, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 9 (678,057)

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casino gambling, cumulative prospect theory, optimal stopping, probability weighting, time inconsistency, randomization, finite time horizon, Skorokhod embedding, potential function

9.

Arbitrage Bounds for Prices of Weighted Variance Swaps

Mathematical Finance, Vol. 24, Issue 4, pp. 821-854, 2014
Number of pages: 34 Posted: 24 Sep 2014
Mark Davis, Jan Obłój and Vimal S Raval
Imperial College London, University of Oxford - Mathematical Institute and Imperial College London - Department of Mathematics
Downloads 0 (762,518)
Citation 3
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weighted variance swap, weak arbitrage, arbitrage conditions, model‐independent bounds, pathwise Itô calculus, semi‐infinite linear programming, fundamental theorem of asset pricing, model error