The following pages link to Jan Obłój (Q259561):
Displaying 50 items.
- The maximum maximum of a martingale with given \(n\) marginals (Q259564) (← links)
- Robust pricing and hedging under trading restrictions and the emergence of local martingale models (Q309166) (← links)
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (Q377454) (← links)
- Outperforming the market portfolio with a given probability (Q453241) (← links)
- Robust pricing and hedging of double no-touch options (Q483935) (← links)
- (Q592384) (redirect page) (← links)
- Asymptotic analysis for stochastic volatility: Edgeworth expansion (Q638406) (← links)
- On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation (Q662437) (← links)
- Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles (Q693031) (← links)
- An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes (Q875905) (← links)
- Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping (Q957523) (← links)
- The Skorokhod embedding problem and its offspring (Q980734) (← links)
- On an explicit Skorokhod embedding for spectrally negative Lévy processes (Q1028617) (← links)
- Classes of measures which can be embedded in the simple symmetric random walk (Q1039051) (← links)
- Pathwise stochastic calculus with local times (Q1635956) (← links)
- Robust pricing-hedging dualities in continuous time (Q1650938) (← links)
- The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach (Q1729695) (← links)
- Dynamically consistent investment under model uncertainty: the robust forward criteria (Q1788824) (← links)
- Local times and Tanaka-Meyer formulae for càdlàg paths (Q2042797) (← links)
- A unified framework for robust modelling of financial markets in discrete time (Q2049549) (← links)
- Two explicit Skorokhod embeddings for simple symmetric random walk (Q2274306) (← links)
- Computational methods for martingale optimal transport problems (Q2299581) (← links)
- On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale (Q2347466) (← links)
- An iterated Azéma-Yor type embedding for finitely many marginals (Q2406561) (← links)
- Dual attainment for the martingale transport problem (Q2419652) (← links)
- An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale. (Q2574635) (← links)
- A complete characterization of local martingales which are functions of Brownian motion and its maximum (Q2642799) (← links)
- Robust estimation of superhedging prices (Q2656605) (← links)
- Martingale Inequalities for the Maximum via Pathwise Arguments (Q2798582) (← links)
- The incentives of hedge fund fees and high-water marks (Q2799996) (← links)
- Arbitrage bounds for prices of weighted variance swaps (Q2927953) (← links)
- THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS (Q2968274) (← links)
- ROBUST TRADING OF IMPLIED SKEW (Q2976126) (← links)
- Robust Hedging of Double Touch Barrier Options (Q3074989) (← links)
- Market completion using options (Q3534746) (← links)
- Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics (Q4987713) (← links)
- Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
- Efficient discretisation of stochastic differential equations (Q5086518) (← links)
- Erratum: The Robust Superreplication Problem: A Dynamic Approach (Q5092724) (← links)
- Pointwise Arbitrage Pricing Theory in Discrete Time (Q5108229) (← links)
- Robust Framework for Quantifying the Value of Information in Pricing and Hedging (Q5112530) (← links)
- The Robust Superreplication Problem: A Dynamic Approach (Q5215985) (← links)
- Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers (Q5232207) (← links)
- The robust pricing–hedging duality for American options in discrete time financial markets (Q5241566) (← links)
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS (Q5389100) (← links)
- UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES (Q5420698) (← links)
- The Maximality Principle Revisited: On Certain Optimal Stopping Problems (Q5423759) (← links)
- (Q5493562) (← links)
- Technical Note—Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model (Q5739114) (← links)
- In memoriam: Mark H. A. Davis and his contributions to mathematical finance (Q6054374) (← links)
