Jan Obłój

University of Oxford

Mansfield Road

Oxford, OX1 4AU

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

1

SSRN CITATIONS

5

CROSSREF CITATIONS

7

Scholarly Papers (3)

1.

The Incentives of Hedge Fund Fees and High‐Water Marks

Mathematical Finance, Vol. 26, Issue 2, pp. 269-295, 2016
Number of pages: 27 Posted: 10 Mar 2016
Paolo Guasoni, Paolo Guasoni and Jan Obłój
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of Oxford
Downloads 1 (876,188)
Citation 1

Abstract:

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hedge funds, high‐water marks, performance fees, portfolio choice, incentives, risk‐shifting, competitive equilibrium, manager's participation

2.

The Robust Pricing–Hedging Duality for American Options in Discrete Time Financial Markets

Mathematical Finance, Vol. 29, Issue 3, pp. 861-897, 2019
Number of pages: 37 Posted: 29 May 2020
affiliation not provided to SSRN, affiliation not provided to SSRN, University of Oxford and Université Paris Dauphine - CEREMADE
Downloads 0 (893,239)
Citation 2

Abstract:

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American option, dynamic programming principle, Kantorovich duality, martingale optimal transport, measure valued martingale, nondominated model, randomized stopping times, superreplication, weak formulation, Primary: 60G40, 60G05, Secondary: 49M29

3.

The Numéraire Property and Long‐Term Growth Optimality for Drawdown‐Constrained Investments

Mathematical Finance, Vol. 27, Issue 1, pp. 68-95, 2017
Number of pages: 28 Posted: 15 Jan 2017
London School of Economics & Political Science (LSE), University of Oxford and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 0 (893,239)
Citation 2

Abstract:

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