Следене
Jan Obloj
Заглавие
Позовавания
Позовавания
Година
The Skorokhod embedding problem and its offspring
J Obłój
Probability Surveys 1, 321-392, 2004
2392004
Robust pricing and hedging of double no-touch options
AMG Cox, J Obłój
Finance and Stochastics 15 (3), 573-605, 2011
1402011
Fine-tune your smile: Correction to Hagan et al
J Oblój
arXiv preprint arXiv:0708.0998, 2007
1032007
Arbitrage bounds for prices of weighted variance swaps
M Davis, J Obłój, V Raval
Mathematical Finance 24 (4), 821-854, 2014
972014
Robust pricing–hedging dualities in continuous time
Z Hou, J Obłój
Finance and Stochastics 22 (3), 511-567, 2018
772018
Robust hedging of double touch barrier options
AMG Cox, J Obloj
SIAM Journal on Financial Mathematics 2 (1), 141-182, 2011
752011
The maximum maximum of a martingale with given marginals
P Henry-Labordere, J Obłój, P Spoida, N Touzi
The Annals of Applied Probability 26 (1), 1-44, 2016
702016
Computational methods for martingale optimal transport problems
G Guo, J Obłój
The Annals of Applied Probability 29 (6), 3311-3347, 2019
672019
Pointwise arbitrage pricing theory in discrete time
M Burzoni, M Frittelli, Z Hou, M Maggis, J Obłój
Mathematics of Operations Research 44 (3), 1034-1057, 2019
562019
The incentives of hedge fund fees and high‐water marks
P Guasoni, J Obłój
Mathematical Finance 26 (2), 269-295, 2016
552016
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
V Cherny, J Obłój
Finance and Stochastics 17 (4), 771-800, 2013
512013
Pathwise inequalities for local time: applications to Skorokhod embeddings and optimal stopping
AMG Cox, D Hobson, J Obłój
The Annals of Applied Probability 18 (5), 1870-1896, 2008
502008
Market completion using options
M Davis, J Obloj
Advances in Mathematics of Finance 83, 49-60, 2008
452008
On Azéma–Yor processes, their optimal properties and the Bachelier–Drawdown equation
L Carraro, N El Karoui, J Obłój
The Annals of Probability 40 (1), 372-400, 2012
402012
The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
AMG Cox, J Obłój, N Touzi
Probability Theory and Related Fields 173 (1), 211-259, 2019
332019
Pathwise stochastic calculus with local times
M Davis, J Obłój, P Siorpaes
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 54 (1), 1-21, 2018
312018
Dual attainment for the martingale transport problem
M Beiglböck, T Lim, J Obłój
Bernoulli 25 (3), 1640-1658, 2019
292019
Time-homogeneous diffusions with a given marginal at a random time
AMG Cox, D Hobson, J Obłój
ESAIM: Probability and Statistics 15, S11-S24, 2011
292011
The robust pricing–hedging duality for American options in discrete time financial markets
A Aksamit, S Deng, J Obłój, X Tan
Mathematical Finance 29 (3), 861-897, 2019
282019
Dynamically consistent investment under model uncertainty: the robust forward criteria
S Källblad, J Obłój, T Zariphopoulou
Finance and Stochastics 22 (4), 879-918, 2018
28*2018
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