Jan Oblój

Publication Activity (10 Years)

Years Active: 2011-2023
Publications (10 Years): 14

Top Topics

Competitive Learning

Financial Markets

Computationally Efficient

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Publications

Sang Hu, Jan Oblój, Xun Yu Zhou
A Casino Gambling Model Under Cumulative Prospect Theory: Analysis and Algorithm. Manag. Sci. 69 (4) (2023)
Xingjian Bai, Guangyi He, Yifan Jiang, Jan Oblój
Wasserstein distributional robustness of neural networks. CoRR (2023)
Xingjian Bai, Guangyi He, Yifan Jiang, Jan Oblój
Wasserstein distributional robustness of neural networks. NeurIPS (2023)
Ivan Guo, Grégoire Loeper, Jan Oblój, Shiyi Wang
Joint Modeling and Calibration of SPX and VIX by Optimal Transport. SIAM J. Financial Math. 13 (1) (2022)
Laurence Carassus, Jan Oblój, Johannes Wiesel
Erratum: The Robust Superreplication Problem: A Dynamic Approach. SIAM J. Financial Math. 13 (2) (2022)
Stephan Eckstein, Gaoyue Guo, Tongseok Lim, Jan Oblój
Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics. SIAM J. Financial Math. 12 (1) (2021)
Anna Aksamit, Zhaoxu Hou, Jan Oblój
Robust Framework for Quantifying the Value of Information in Pricing and Hedging. SIAM J. Financial Math. 11 (1) (2020)
Laurence Carassus, Jan Oblój, Johannes Wiesel
The Robust Superreplication Problem: A Dynamic Approach. SIAM J. Financial Math. 10 (4) (2019)
Matteo Burzoni, Marco Frittelli, Zhaoxu Hou, Marco Maggis, Jan Oblój
Pointwise Arbitrage Pricing Theory in Discrete Time. Math. Oper. Res. 44 (3) (2019)
Xue Dong He, Sang Hu, Jan Oblój, Xun Yu Zhou
Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers. SIAM J. Control. Optim. 57 (3) (2019)
Sigrid Källblad, Jan Oblój, Thaleia Zariphopoulou
Dynamically consistent investment under model uncertainty: the robust forward criteria. Finance Stochastics 22 (4) (2018)
Zhaoxu Hou, Jan Oblój
Robust pricing-hedging dualities in continuous time. Finance Stochastics 22 (3) (2018)
Xue Dong He, Sang Hu, Jan Oblój, Xun Yu Zhou
Technical Note - Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model. Oper. Res. 65 (1) (2017)
Alexander M. G. Cox, Zhaoxu Hou, Jan Oblój
Robust pricing and hedging under trading restrictions and the emergence of local martingale models. Finance Stochastics 20 (3) (2016)
Vladimir Cherny, Jan Oblój
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model. Finance Stochastics 17 (4) (2013)
Alexander M. G. Cox, Jan Oblój
Robust pricing and hedging of double no-touch options. Finance Stochastics 15 (3) (2011)
Alexander M. G. Cox, Jan Oblój
Robust Hedging of Double Touch Barrier Options. SIAM J. Financial Math. 2 (1) (2011)