David Hobson

University of Warwick

CV4 7AL

United Kingdom

SCHOLARLY PAPERS

11

DOWNLOADS

804

SSRN CITATIONS
Rank 20,879

SSRN RANKINGS

Top 20,879

in Total Papers Citations

10

CROSSREF CITATIONS

37

Scholarly Papers (11)

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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)

Abstract:

Loading...

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

Abstract:

Loading...

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
  • Add to Cart

Abstract:

Loading...

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
University of Bath, University of Warwick and University of Warwick
Downloads 3 (723,199)
  • Add to Cart

Abstract:

Loading...

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)
  • Add to Cart

Abstract:

Loading...

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)
  • Add to Cart

Abstract:

Loading...

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)
  • Add to Cart

Abstract:

Loading...

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
University of Warwick, University of Warwick, King's College, London and University of Surrey

Abstract:

Loading...

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