David Hobson

University of Warwick

CV4 7AL

United Kingdom

  • University of Warwick

SCHOLARLY PAPERS

11

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804

SSRN CITATIONS
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Top 20,879

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10

CROSSREF CITATIONS

37

Scholarly Papers (11)

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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 Imperial College London
Downloads 334 (105,443)
Citation 6

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Behavioral economics, prospect theory, probability weighting, randomized strategies

2.

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 Imperial College London
Downloads 283 (126,047)
Citation 4

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

3.

Cautious Stochastic Choice, Optimal Stopping and Deliberate Randomization

Number of pages: 33 Posted: 16 Feb 2018 Last Revised: 03 Aug 2020
Vicky Henderson, David Hobson and Matthew Zeng
University of Warwick, University of Warwick and University of Warwick
Downloads 125 (262,414)
Citation 1

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Stochastic Choice, Cautious Stochastic Choice, Randomization, Optimal Stopping

4.

An Elementary Approach to the Merton Problem

Number of pages: 18 Posted: 01 Jul 2020
Martin Herdegen, David Hobson and Joseph Jerome
University of Warwick - Department of Statistics, University of Warwick and University of Warwick - Department of Statistics
Downloads 40 (489,599)

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Mathematical Finance, Merton Problem, Stochastic Control, Expected Utility Maximization, Numeraire Change

5.

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 12 (656,754)
Citation 1

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

6.

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 City University London - Faculty of Finance
Downloads 4 (715,236)
Citation 2
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robust hedging, super‐replication, cheapest super‐hedge, forward start straddle

7.

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 (723,199)
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8.

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 (733,003)
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portfolio liquidation, utility maximization, calculus of variations, optimal strategy, price impact

9.

Optimal Consumption and Investment Under Transaction Costs

Mathematical Finance, Vol. 29, Issue 2, pp. 483-506, 2019
Number of pages: 24 Posted: 13 Mar 2019
David Hobson, Alex S. L. Tse and Yeqi Zhu
University of Warwick, Imperial College London and Credit Suisse U.K. Limited
Downloads 1 (744,969)
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Merton problem, proportional transaction costs, no transaction region, well‐posedness, leverage

10.

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 (763,096)
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gambling contest, Nash equilibrium, Skorokhod embedding, regret theory, maximum process

11.

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

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