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

10

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11

CROSSREF CITATIONS

27

Scholarly Papers (10)

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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

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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

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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

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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
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 235 (181,809)
Citation 11

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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)

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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

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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)

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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
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 59 (486,943)
Citation 8

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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

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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