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David Hobson

University of Warwick

CV4 7AL

United Kingdom

  • University of Warwick

SCHOLARLY PAPERS

8

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412

CITATIONS
Rank 24,165

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Top 24,165

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11

Scholarly Papers (8)

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1.

Randomized Strategies and Prospect Theory in a Dynamic Context

Number of pages: 29 Posted: 29 Nov 2014 Last Revised: 06 Jan 2017
Vicky Henderson, David Hobson and Alex S. L. Tse
University of Warwick, University of Warwick and University of Cambridge - Judge Business School
Downloads 134 (94,801)

Abstract:

Behavioral economics, prospect theory, probability weighting, randomized strategies

2.

Gambling in Contests with Random Initial Law

Number of pages: 20 Posted: 31 May 2014
David Hobson and Han Feng
University of Warwick and Hangzhou Normal University
Downloads 3 (515,552)

Abstract:

Seel-Strack problem, Gambling contest, Nash equilibrium, Skorokhod Embedding

3.

Robust Bounds for Forward Start Options

Mathematical Finance, Vol. 22, Issue 1, pp. 31-56, 2012
Posted: 21 Jan 2012
David Hobson and Anthony Neuberger
University of Warwick and Cass Business School, City, University of London
Downloads 3 (529,071)
Citation 5
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Abstract:

robust hedging, super‐replication, cheapest super‐hedge, forward start straddle

4.

Optimal Timing for an Indivisible Asset Sale

Mathematical Finance, Vol. 18, Issue 4, pp. 545-567, October 2008
Number of pages: 23 Posted: 19 Sep 2008
Jonathan D. Evans, Vicky Henderson and David Hobson
University of Bath, University of Warwick and University of Warwick
Downloads 3 (534,043)
Citation 1
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Abstract:

5.

Optimal Liquidation of Derivative Portfolios

Mathematical Finance, Vol. 21, Issue 3, pp. 365-382, 2011
Number of pages: 18 Posted: 20 May 2011
Vicky Henderson and David Hobson
University of Warwick and University of Warwick
Downloads 2 (541,018)
Citation 5
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Abstract:

portfolio liquidation, utility maximization, calculus of variations, optimal strategy, price impact

6.

Probability Weighting, Stop-Loss and the Disposition Effect

Number of pages: 58 Posted: 16 Aug 2016 Last Revised: 06 Mar 2017
Vicky Henderson, David Hobson and Alex S. L. Tse
University of Warwick, University of Warwick and University of Cambridge - Judge Business School
Downloads 0 (187,201)

Abstract:

Prospect theory, behavioral finance, disposition effect, investor trading behavior, probability weighting.

7.

Gambling in Contests with Regret

Mathematical Finance, Vol. 26, Issue 3, pp. 674-695, 2016
Number of pages: 22 Posted: 10 Jun 2016
Han Feng and David Hobson
University of Warwick and University of Warwick
Downloads 0 (565,313)
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Abstract:

gambling contest, Nash equilibrium, Skorokhod embedding, regret theory, maximum process

8.

Bounds for In-Progress Floating-Strike Asian Options Using Symmetry

Annals of Operation Research, Vol. 151, No. 1, 2007
Posted: 06 Mar 2008
Vicky Henderson, David Hobson, William Shaw and Rafal M. Wojakowski
University of Warwick, University of Warwick, King's College, London and University of Surrey

Abstract:

Asian options, Floating strike Asian options, Put call symmetry, Bounds, Change of numéraire

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