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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

7

DOWNLOADS
Rank 37,246

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Top 37,246

in Total Papers Downloads

937

CITATIONS
Rank 33,218

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Top 33,218

in Total Papers Citations

6

Scholarly Papers (7)

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1.

The Incentives of Hedge Fund Fees and High-Water Marks

Downloads 290 ( 86,909)
Citation 3

The Incentives of Hedge Fund Fees and High-Water Marks

Boston U. School of Management Research Paper No. 2011-3
Number of pages: 27 Posted: 18 Mar 2011 Last Revised: 05 Feb 2013
Paolo Guasoni and Jan Obłój
Boston University - Department of Mathematics and Statistics and University of Oxford - Mathematical Institute
Downloads 290 (86,449)
Citation 3

Abstract:

Hedge Funds, High-Water Marks, Performance Fees, Portfolio Choice, Incentives, Risk shifting

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
Société Générale - Paris, France, University of Oxford - Mathematical Institute, University of Oxford and Ecole Polytechnique, Paris
Downloads 178 (126,727)

Abstract:

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

3.

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 - School of Science and Engineering, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 122 (102,431)

Abstract:

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

4.

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 29 (352,465)

Abstract:

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

5.

The Numeraire Property and Long-Term Growth Optimality for Drawdown-Constrained Investments

Number of pages: 32 Posted: 30 Oct 2012
Constantinos Kardaras, Jan Obłój and Eckhard Platen
Boston University, University of Oxford - Mathematical Institute and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 27 (355,679)

Abstract:

drawdown constraints, numeraire property, asymptotic growth, portfolio risk management

6.

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

Number of pages: 42 Posted: 31 Oct 2015 Last Revised: 28 Dec 2015
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 - School of Science and Engineering, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 0 (207,114)

Abstract:

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

7.

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 (565,074)
Citation 3
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Abstract:

weighted variance swap, weak arbitrage, arbitrage conditions, model‐independent bounds, pathwise Itô calculus, semi‐infinite linear programming, fundamental theorem of asset pricing, model error

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