Jan Obłój

University of Oxford

Mansfield Road

Oxford, OX1 4AU

United Kingdom

SCHOLARLY PAPERS

3

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7

Scholarly Papers (3)

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1.

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
Anna Aksamit, Shuoqing Deng, Jan Obłój and Xiaolu Tan
affiliation not provided to SSRN, affiliation not provided to SSRN, University of Oxford and Université Paris Dauphine - CEREMADE
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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

2.

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
Constantinos Kardaras, Jan Obłój and Eckhard Platen
London School of Economics & Political Science (LSE), University of Oxford and University of Technology, Sydney (UTS) - Finance Discipline Group
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drawdown constraints, numéraire property, asymptotic growth, portfolio risk management

3.

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 and Jan Obłój
Dublin City University - School of Mathematical Sciences and University of Oxford
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hedge funds, high‐water marks, performance fees, portfolio choice, incentives, risk‐shifting, competitive equilibrium, manager's participation