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1

ROBUST TRADING OF IMPLIED SKEW

NADTOCHIY, SERGEY, OBłÓJ, JAN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2017

Language:

english

File:

PDF, 768 KB

english, 2017

2

The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach

Cox, Alexander M. G., Obłój, Jan, Touzi, Nizar

Journal:

Probability Theory and Related Fields

Year:

2018

Language:

english

File:

PDF, 976 KB

english, 2018

3

Robust Hedging of Double Touch Barrier Options

Cox, A. M. G., Obloj, Jan

Journal:

SIAM Journal on Financial Mathematics

Year:

2011

Language:

english

File:

PDF, 570 KB

english, 2011

4

THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS

Guasoni, Paolo, Obłój, Jan

Journal:

Mathematical Finance

Year:

2016

Language:

english

File:

PDF, 475 KB

english, 2016

5

ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS

Davis, Mark, Obłój, Jan, Raval, Vimal

Journal:

Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 397 KB

english, 2014

6

UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES

COX, ALEXANDER M. G., HOBSON, DAVID, OBłÓJ, JAN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2014

Language:

english

File:

PDF, 685 KB

english, 2014

7

Robust pricing and hedging under trading restrictions and the emergence of local martingale models

Cox, Alexander M. G., Hou, Zhaoxu, Obłój, Jan

Journal:

Finance and Stochastics

Year:

2016

Language:

english

File:

PDF, 1.57 MB

english, 2016

8

Robust pricing–hedging dualities in continuous time

Hou, Zhaoxu, Obłój, Jan

Journal:

Finance and Stochastics

Year:

2018

Language:

english

File:

PDF, 1.23 MB

english, 2018

9

The Robust Superreplication Problem: A Dynamic Approach

Carassus, Laurence, Obłój, Jan, Wiesel, Johannes

Journal:

SIAM Journal on Financial Mathematics

Year:

2019

Language:

english

File:

PDF, 507 KB

english, 2019

10

PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS

OBŁÓJ, JAN, ULMER, FRÉDÉRIK

Journal:

International Journal of Theoretical and Applied Finance

Year:

2012

Language:

english

File:

PDF, 577 KB

english, 2012

11

THIRD PARTY SANCTIONS IN GAMES WITH COMMUNICATION

Obłój, Jan, Abramczuk, Katarzyna

Journal:

Studies in Logic, Grammar and Rhetoric

Language:

english

File:

PDF, 370 KB

english

12

Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model

He, Xue Dong, Hu, Sang, Obłój, Jan, Zhou, Xun Yu

Journal:

Operations Research

Year:

2016

Language:

english

File:

PDF, 256 KB

english, 2016

13

ON AZÉMA—YOR PROCESSES, THEIR OPTIMAL PROPERTIES AND THE BACHELIER—DRAWDOWN EQUATION

Laurent Carraro, Nicole El Karoui and Jan Obłój

Journal:

The Annals of Probability

Year:

2012

Language:

english

File:

PDF, 2.06 MB

english, 2012

14

Dynamically consistent investment under model uncertainty: the robust forward criteria

Källblad, Sigrid, Obłój, Jan, Zariphopoulou, Thaleia

Journal:

Finance and Stochastics

Year:

2018

Language:

english

File:

PDF, 1.07 MB

english, 2018

15

The Robust Superreplication Problem: A Dynamic Approach

Carassus, Laurence, Obłój, Jan, Wiesel, Johannes

Journal:

SIAM Journal on Financial Mathematics

Year:

2019

File:

PDF, 507 KB

2019

16

An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale

Jan Obłój, Marc Yor

Journal:

Stochastic Processes and their Applications

Year:

2004

Language:

english

File:

PDF, 408 KB

english, 2004

17

On Azéma–Yor processes, their optimal properties and the Bachelier–drawdown equation

Carraro, Laurent, El Karoui, Nicole, Obłój, Jan

Journal:

The Annals of Probability

Year:

2012

Language:

english

File:

PDF, 307 KB

english, 2012

18

Time-Consistent Investment Under Model Uncertainty: The Robust Forward Criteria

Kallblad, Sigrid, Obloj, Jan K., Zariphopoulou, Thaleia

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 538 KB

english, 2013

19

Dual attainment for the martingale transport problem

Beiglböck, Mathias, Lim, Tongseok, Obłój, Jan

Journal:

Year:

2019

Language:

english

File:

PDF, 208 KB

english, 2019

20

Pathwise stochastic calculus with local times

Davis, Mark, Obłój, Jan, Siorpaes, Pietro

Journal:

Annales de l'Institut Henri Poincare (B) Probability and Statistics

Year:

2018

File:

PDF, 309 KB

2018

21

THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS

Kardaras, Constantinos, Obłój, Jan, Platen, Eckhard

Journal:

Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 371 KB

english, 2014

22

The robust pricing-hedging duality for American options in discrete time financial markets

Aksamit, Anna, Deng, Shuoqing, Obłój, Jan, Tan, Xiaolu

Journal:

Mathematical Finance

Year:

2018

Language:

english

File:

PDF, 579 KB

english, 2018

23

Robust pricing and hedging of double no-touch options

Alexander M. G. Cox, Jan Obłój

Journal:

Finance and Stochastics

Year:

2011

Language:

english

File:

PDF, 1.08 MB

english, 2011

24

Pathwise Inequalities for Local Time: Applications to Skorokhod Embeddings and Optimal Stopping

A. M. G. Cox, David Hobson and Jan Obłój

Journal:

The Annals of Applied Probability

Year:

2008

Language:

english

File:

PDF, 1.84 MB

english, 2008

25

The Numeraire Property and Long-Term Growth Optimality for Drawdown-Constrained Investments

Kardaras, Constantinos, Obloj, Jan K., Platen, Eckhard

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 562 KB

english, 2012

26

The Incentives of Hedge Fund Fees and High-Water Marks

Guasoni, Paolo, Obloj, Jan K.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 482 KB

english, 2010

27

The Incentives of Hedge Fund Fees and High-Water Marks

Guasoni, Paolo, Obloj, Jan K.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 688 KB

english, 2011

28

On an Explicit Skorokhod Embedding for Spectrally Negative Lévy Processes

Jan Obłój, Martijn Pistorius

Journal:

Journal of Theoretical Probability

Year:

2009

Language:

english

File:

PDF, 492 KB

english, 2009

29

A complete characterization of local martingales which are functions of Brownian motion and its maximum

Journal:

Year:

2006

Language:

english

File:

PDF, 239 KB

english, 2006

30

Tribological Properties of the Oxide Coatings Produced onto 6061-T6 Aluminum Alloy in the Hard Anodizing Process

Kwolek, Przemysław, Krupa, Krzysztof, Obłój, Andrzej, Kocurek, Paweł, Wierzbińska, Małgorzata, Sieniawski, Jan

Journal:

Journal of Materials Engineering and Performance

Year:

2018

Language:

english

File:

PDF, 1.12 MB

english, 2018

31

An iterated Azéma–Yor type embedding for finitely many marginals

Obłój, Jan, Spoida, Peter

Journal:

The Annals of Probability

Year:

2017

Language:

english

File:

PDF, 406 KB

english, 2017

32

A Complete Characterization of Local Martingales Which Are Functions of Brownian Motion and Its Maximum

Journal:

Year:

2006

Language:

english

File:

PDF, 1.18 MB

english, 2006

33

The maximum maximum of a martingale with given $\mathbf{n}$ marginals

Henry-Labordère, Pierre, Obłój, Jan, Spoida, Peter, Touzi, Nizar

Journal:

The Annals of Applied Probability

Year:

2016

Language:

english

File:

PDF, 421 KB

english, 2016

34

On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale

Cox, Alexander M.G., Obłój, Jan

Journal:

Stochastic Processes and their Applications

Year:

2015

Language:

english

File:

PDF, 323 KB

english, 2015

35

Two explicit Skorokhod embeddings for simple symmetric random walk

He, Xue Dong, Hu, Sang, Obłój, Jan, Zhou, Xun Yu

Journal:

Stochastic Processes and their Applications

Year:

2018

File:

PDF, 478 KB

2018

36

An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes

Journal:

Stochastic Processes and their Applications

Year:

2007

Language:

english

File:

PDF, 472 KB

english, 2007

37

Time-homogeneous diffusions with a given marginal at a random time

Cox, Alexander M.G., Hobson, David, Obłój, Jan

Journal:

ESAIM Probability and Statistics

Year:

2011

Language:

english

File:

PDF, 272 KB

english, 2011

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