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Jan Obloj

Identifiers

  • name variant Jan Obloj 0.60 · backfill

Papers (18)

  1. The robust superreplication problem: a dynamic approach q-fin.MF · 2018 · author #2
  2. Computational Methods for Martingale Optimal Transport problems math.PR · 2017 · author #2
  3. Robust Trading of Implied Skew q-fin.PR · 2016 · author #2
  4. On robust pricing-hedging duality in continuous time q-fin.MF · 2015 · author #2
  5. Martingale Inequalities for the Maximum via Pathwise Arguments math.PR · 2014 · author #1
  6. Robust pricing and hedging under trading restrictions and the emergence of local martingale models q-fin.MF · 2014 · author #3
  7. Time--consistent investment under model uncertainty: the robust forward criteria q-fin.PM · 2013 · author #2
  8. Optimal portfolios of a long-term investor with floor or drawdown constraints q-fin.PM · 2013 · author #2
  9. The numeraire property and long-term growth optimality for drawdown-constrained investments q-fin.PM · 2012 · author #2
  10. Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model q-fin.PM · 2011 · author #2
  11. Utility theory front to back - inferring utility from agents' choices q-fin.PM · 2011 · author #3
  12. Arbitrage Bounds for Prices of Weighted Variance Swaps q-fin.PR · 2010 · author #2
  13. Robust pricing and hedging of double no-touch options q-fin.PR · 2009 · author #2
  14. Market completion using options q-fin.PR · 2007 · author #2
  15. Fine-tune your smile: Correction to Hagan et al q-fin.CP · 2007 · author #1
  16. An explicit Skorokhod embedding for spectrally negative Levy processes math.PR · 2007 · author #1
  17. The maximality principle revisited: on certain optimal stopping problems math.PR · 2004 · author #1
  18. The Skorokhod embedding problem and its offspring math.PR · 2004 · author #1

Mentions

  • 1311.3529 #2 · backfill · confidence 0.70 Jan Obloj
  • 1305.6831 #2 · backfill · confidence 0.70 Jan Obloj
  • 1206.2305 #2 · backfill · confidence 0.70 Jan Obloj
  • 1110.6289 #2 · backfill · confidence 0.70 Jan Obloj
  • 1101.3572 #3 · backfill · confidence 0.70 Jan Obloj
  • 1001.2678 #2 · backfill · confidence 0.70 Jan Obloj
  • 0901.0674 #2 · backfill · confidence 0.70 Jan Obloj
  • 0710.2792 #2 · backfill · confidence 0.70 Jan Obloj
  • 0708.0998 #1 · backfill · confidence 0.70 Jan Obloj

Frequent Coauthors