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Jan K. Obloj · Study
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Author
Jan K. Obloj
33 works
· latest 2022
· 5 institutions
cluster: provisional
ORCID 0000-0002-5686-5498
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30
Citations
1,494
Works here
33
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Most cited in this library
The Skorokhod embedding problem and its offspring
2004 · 255 citations
Robust pricing and hedging of double no-touch options
2011 · 140 citations
The Skorokhod embedding problem and its offspring
2004 · 117 citations
Robust Hedging of Double Touch Barrier Options
2011 · 78 citations
ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
2013 · 73 citations
Works
33 shown
A Casino Gambling Model Under Cumulative Prospect Theory: Analysis and Algorithm
Management Science
·
2022
·
3 authors
17
citations
Joint Modeling and Calibration of SPX and VIX by Optimal Transport
SIAM Journal on Financial Mathematics
·
2022
·
4 authors
21
citations
When to Quit Gambling, if You Must!
arXiv (Cornell University)
·
2021
·
3 authors
·
preprint
·
Open access
0
citations
When to Quit Gambling, if You Must!
SSRN Electronic Journal
·
2021
·
3 authors
·
preprint
·
Open access
0
citations
When to Quit Gambling, if You Must!
RePEc: Research Papers in Economics
·
2021
·
3 authors
·
preprint
·
Open access
0
citations
Computational methods for martingale optimal transport problems
The Annals of Applied Probability
·
2019
·
2 authors
·
Open access
64
citations
Dual attainment for the martingale transport problem
Bernoulli
·
2019
·
3 authors
21
citations
Pointwise Arbitrage Pricing Theory in Discrete Time
Mathematics of Operations Research
·
2019
·
5 authors
·
Open access
55
citations
The Robust Superreplication Problem: A Dynamic Approach
SIAM Journal on Financial Mathematics
·
2019
·
3 authors
·
Open access
27
citations
The robust pricing–hedging duality for American options in discrete time financial markets
Mathematical Finance
·
2018
·
4 authors
·
Open access
36
citations
Dynamically consistent investment under model uncertainty: the robust forward criteria
Finance and Stochastics
·
2018
·
3 authors
·
Open access
29
citations
Robust pricing–hedging dualities in continuous time
Finance and Stochastics
·
2018
·
2 authors
·
Open access
60
citations
Pathwise stochastic calculus with local times
Annales de l Institut Henri Poincaré Probabilités et Statistiques
·
2018
·
3 authors
·
Open access
34
citations
Technical Note—Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model
Operations Research
·
2016
·
4 authors
19
citations
Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Finance and Stochastics
·
2016
·
3 authors
·
Open access
20
citations
The maximum maximum of a martingale with given $\mathbf{n}$ marginals
The Annals of Applied Probability
·
2016
·
3 authors
·
Open access
57
citations
On robust pricing-hedging duality in continuous time
RePEc: Research Papers in Economics
·
2015
·
2 authors
·
preprint
·
Open access
23
citations
Optimal Exit Time from Casino Gambling: Strategies of Pre-Committed and Naive Gamblers
SIAM Journal on Control and Optimization
·
2015
·
4 authors
·
Open access
19
citations
THE INCENTIVES OF HEDGE FUND FEES AND HIGH‐WATER MARKS
Mathematical Finance
·
2013
·
2 authors
43
citations
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Finance and Stochastics
·
2013
·
1 author
43
citations
ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
Mathematical Finance
·
2013
·
3 authors
73
citations
Maximum Maximum of Martingales Given Marginals
SSRN Electronic Journal
·
2012
·
4 authors
·
preprint
·
Open access
31
citations
On Azéma–Yor processes, their optimal properties and the Bachelier–drawdown equation
The Annals of Probability
·
2012
·
3 authors
·
Open access
26
citations
Robust pricing and hedging of double no-touch options
Finance and Stochastics
·
2011
·
2 authors
140
citations
Robust Hedging of Double Touch Barrier Options
SIAM Journal on Financial Mathematics
·
2011
·
2 authors
78
citations
On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation
arXiv (Cornell University)
·
2009
·
3 authors
·
preprint
·
Open access
26
citations
Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
The Annals of Applied Probability
·
2008
·
2 authors
·
Open access
53
citations
Market completion using options
Banach Center Publications
·
2008
·
2 authors
·
other
·
Open access
37
citations
The Maximality Principle Revisited: On Certain Optimal Stopping Problems
Springer eBooks
·
2007
·
1 author
·
chapter
22
citations
On Local Martingale and its Supremum: Harmonic Functions and beyond
Springer eBooks
·
2006
·
2 authors
·
chapter
·
Open access
26
citations
The Skorokhod embedding problem and its offspring
HAL
·
2004
·
1 author
·
Open access
117
citations
The Skorokhod embedding problem and its offspring
Probability Surveys
·
2004
·
1 author
·
Open access
255
citations
An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale
Stochastic Processes and their Applications
·
2003
·
2 authors
·
Open access
22
citations