Jan Obłój

Available identifiers

zbMath Open obloj.jan-kWikidataQ92426008 ScholiaQ92426008MaRDI QIDQ259561

List of research outcomes

Publication	Date of Publication	Type
The Measure Preserving Martingale Sinkhorn Algorithm	2023-10-20	Paper
In memoriam: Mark H. A. Davis and his contributions to mathematical finance	2023-09-28	Paper
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets	2023-09-28	Paper
Erratum: The Robust Superreplication Problem: A Dynamic Approach	2022-07-22	Paper
Efficient discretisation of stochastic differential equations	2022-07-05	Paper
Joint Modeling and Calibration of SPX and VIX by Optimal Transport	2022-01-10	Paper
A unified framework for robust modelling of financial markets in discrete time	2021-08-27	Paper
Local times and Tanaka-Meyer formulae for càdlàg paths	2021-07-21	Paper
Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics	2021-05-04	Paper
Robust estimation of superhedging prices	2021-03-11	Paper
Robust Framework for Quantifying the Value of Information in Pricing and Hedging	2020-05-29	Paper
Pointwise Arbitrage Pricing Theory in Discrete Time	2020-04-30	Paper
Computational methods for martingale optimal transport problems	2020-02-21	Paper
The Robust Superreplication Problem: A Dynamic Approach	2020-02-14	Paper
The robust pricing–hedging duality for American options in discrete time financial markets	2019-10-31	Paper
Two explicit Skorokhod embeddings for simple symmetric random walk	2019-09-19	Paper
Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers	2019-08-30	Paper
Dual attainment for the martingale transport problem	2019-06-14	Paper
The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach	2019-02-28	Paper
Dynamically consistent investment under model uncertainty: the robust forward criteria	2018-10-08	Paper
Robust pricing-hedging dualities in continuous time	2018-07-16	Paper
Pathwise stochastic calculus with local times	2018-06-01	Paper
An iterated Azéma-Yor type embedding for finitely many marginals	2017-10-05	Paper
Technical Note—Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model	2017-06-02	Paper
ROBUST TRADING OF IMPLIED SKEW	2017-04-13	Paper
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS	2017-03-13	Paper
Structure of martingale transports in finite dimensions	2017-02-27	Paper
Robust pricing and hedging under trading restrictions and the emergence of local martingale models	2016-09-07	Paper
THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS	2016-04-14	Paper
Martingale Inequalities for the Maximum via Pathwise Arguments	2016-04-13	Paper
The maximum maximum of a martingale with given \(n\) marginals	2016-03-11	Paper
On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale	2015-05-27	Paper
Robust pricing and hedging of double no-touch options	2014-12-17	Paper
ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS	2014-11-05	Paper
UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES	2014-06-13	Paper
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model	2013-11-06	Paper
PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS	2012-04-24	Paper
On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation	2012-02-22	Paper
Robust Hedging of Double Touch Barrier Options	2011-02-10	Paper
The Skorokhod embedding problem and its offspring	2010-06-29	Paper
Time-Homogeneous Diffusions with a Given Marginal at a Random Time	2009-12-09	Paper
Classes of measures which can be embedded in the simple symmetric random walk	2009-11-20	Paper
On an explicit Skorokhod embedding for spectrally negative Lévy processes	2009-07-06	Paper
Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping	2008-11-27	Paper
Market completion using options	2008-11-04	Paper
The Maximality Principle Revisited: On Certain Optimal Stopping Problems	2007-10-31	Paper
A complete characterization of local martingales which are functions of Brownian motion and its maximum	2007-09-05	Paper
Fine-tune your smile: Correction to Hagan et al	2007-08-07	Paper
An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes	2007-04-16	Paper
https://portal.mardi4nfdi.de/entity/Q5493562	2006-10-23	Paper
Classes of Skorokhod Embeddings for the Simple Symmetric Random Walk	2006-09-12	Paper
An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.	2005-11-29	Paper
An explicit Skorokhod embedding for functionals of Markovian excursions	2005-09-23	Paper

Research outcomes over time

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