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

SCHOLARLY PAPERS

10

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1,425

SSRN CITATIONS
Rank 24,758

SSRN RANKINGS

Top 24,758

in Total Papers Citations

11

CROSSREF CITATIONS

27

Scholarly Papers (10)

1.

Joint Modelling and Calibration of SPX and VIX by Optimal Transport

Number of pages: 32 Posted: 03 Sep 2021 Last Revised: 17 Jan 2022
Ivan Guo, Gregoire Loeper, Jan Obłój and Shiyi Wang
Monash University - School of Mathematical Sciences, BNP Paribas, University of Oxford - Mathematical Institute and Monash University - School of Mathematics
Downloads 304 (140,591)
Citation 1

Abstract:

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

2.

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 301 (142,025)
Citation 1

Abstract:

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

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 239 (178,909)
Citation 2

Abstract:

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

4.

Maximum Maximum of Martingales Given Marginals

Number of pages: 35 Posted: 01 Apr 2012 Last Revised: 10 Apr 2013
Natixis - Paris, France, University of Oxford - Mathematical Institute, University of Oxford and Ecole Polytechnique, Paris
Downloads 235 (181,809)
Citation 11

Abstract:

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

5.

Optimal Transport for Model Calibration

Number of pages: 15 Posted: 08 Jul 2021
Ivan Guo, Gregoire Loeper, Jan Obłój and Shiyi Wang
Monash University - School of Mathematical Sciences, BNP Paribas, University of Oxford - Mathematical Institute and Monash University - School of Mathematics
Downloads 102 (357,603)

Abstract:

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optimal transport, stochastic volatility, model calibration

6.

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 80 (415,176)
Citation 3

Abstract:

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7.

A Casino Gambling Model under Cumulative Prospect Theory: Analysis and Algorithm

Number of pages: 46 Posted: 16 Feb 2021 Last Revised: 13 Jan 2022
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 72 (440,248)

Abstract:

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

8.

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

Number of pages: 41 Posted: 15 Nov 2013
Vienna University of Technology, University of Oxford - Mathematical Institute and University of Texas at Austin - Red McCombs School of Business
Downloads 59 (486,943)
Citation 8

Abstract:

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

9.

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 33 (611,064)

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

10.

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 (906,676)
Citation 4

Abstract:

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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