Jan Oblój

According to our database, Jan Oblój authored at least 16 papers between 2011 and 2023.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2023

A Casino Gambling Model Under Cumulative Prospect Theory: Analysis and Algorithm.

Sang Hu, Jan Oblój, Xun Yu Zhou

Manag. Sci., April, 2023

Wasserstein distributional robustness of neural networks.

Xingjian Bai, Guangyi He, Yifan Jiang, Jan Oblój

Proceedings of the Advances in Neural Information Processing Systems 36: Annual Conference on Neural Information Processing Systems 2023, 2023

2022

Erratum: The Robust Superreplication Problem: A Dynamic Approach.

Laurence Carassus, Jan Oblój, Johannes Wiesel

SIAM J. Financial Math., June, 2022

Joint Modeling and Calibration of SPX and VIX by Optimal Transport.

Ivan Guo, Grégoire Loeper, Jan Oblój, Shiyi Wang

SIAM J. Financial Math., 2022

2021

Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics.

Stephan Eckstein, Gaoyue Guo, Tongseok Lim, Jan Oblój

SIAM J. Financial Math., 2021

2020

Robust Framework for Quantifying the Value of Information in Pricing and Hedging.

Anna Aksamit, Zhaoxu Hou, Jan Oblój

SIAM J. Financial Math., 2020

2019

The Robust Superreplication Problem: A Dynamic Approach.

Laurence Carassus, Jan Oblój, Johannes Wiesel

SIAM J. Financial Math., 2019

Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers.

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

SIAM J. Control. Optim., 2019

Pointwise Arbitrage Pricing Theory in Discrete Time.

Matteo Burzoni, Marco Frittelli, Zhaoxu Hou, Marco Maggis, Jan Oblój

Math. Oper. Res., 2019

2018

Dynamically consistent investment under model uncertainty: the robust forward criteria.

Sigrid Källblad, Jan Oblój, Thaleia Zariphopoulou

Finance Stochastics, 2018

Robust pricing-hedging dualities in continuous time.

Zhaoxu Hou, Jan Oblój

Finance Stochastics, 2018

2017

Technical Note - Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model.

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

Oper. Res., 2017

2016

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

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

Finance Stochastics, 2016

2013

Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model.

Vladimir Cherny, Jan Oblój

Finance Stochastics, 2013

2011

Robust Hedging of Double Touch Barrier Options.

Alexander M. G. Cox, Jan Oblój

SIAM J. Financial Math., 2011

Robust pricing and hedging of double no-touch options.

Alexander M. G. Cox, Jan Oblój

Finance Stochastics, 2011