E-LIB Suche - Ergebnisse für: Obłój, Jan

1

Erratum: The Robust Superreplication Problem: A Dynamic App..:

Carassus, Laurence ; Obłój, Jan ; Wiesel, Johannes
SIAM Journal on Financial Mathematics. 13 (2022) 2 - p. 653-655 , 2022

Link: https://doi.org/10.1137/..

2

Joint Modeling and Calibration of SPX and VIX by Optimal Tr..:

Guo, Ivan ; Loeper, Grégoire ; Obłój, Jan.
SIAM Journal on Financial Mathematics. 13 (2022) 1 - p. 1-31 , 2022

Link: https://doi.org/10.1137/..

3

In memoriam: Mark H. A. Davis and his contributions to math..:

Obłój, Jan ; Zariphopoulou, Thaleia
Mathematical Finance. 31 (2021) 4 - p. 1099-1110 , 2021

Link: https://doi.org/10.1111/..

4

A unified framework for robust modelling of financial marke..:

Obłój, Jan ; Wiesel, Johannes
Finance and Stochastics. 25 (2021) 3 - p. 427-468 , 2021

Link: https://doi.org/10.1007/..

5

Robust Pricing and Hedging of Options on Multiple Assets an..:

Eckstein, Stephan ; Guo, Gaoyue ; Lim, Tongseok.
SIAM Journal on Financial Mathematics. 12 (2021) 1 - p. 158-188 , 2021

Link: https://doi.org/10.1137/..

6

Distributionally robust portfolio maximization and marginal..:

Obłój, Jan ; Wiesel, Johannes
Mathematical Finance. 31 (2021) 4 - p. 1454-1493 , 2021

Link: https://doi.org/10.1111/..

7

Robust Estimation of Superhedging Prices:

Obłój, Jan ; Wiesel, Johannes
Annals of Statistics, Forthcoming. , 2020

Link: https://ssrn.com/abstrac..

8

Robust Framework for Quantifying the Value of Information i..:

Aksamit, Anna ; Hou, Zhaoxu ; Obłój, Jan
SIAM Journal on Financial Mathematics. 11 (2020) 1 - p. 27-59 , 2020

Link: https://doi.org/10.1137/..

9

Efficient discretisation of stochastic differential equatio..:

Fukasawa, Masaaki ; Obłój, Jan
Stochastics. 92 (2019) 6 - p. 833-851 , 2019

Link: https://doi.org/10.1080/..

10

COMPUTATIONAL METHODS FOR MARTINGALE OPTIMAL TRANSPORT PROB..:

Guo, Gaoyue ; Obłój, Jan
The Annals of Applied Probability. 29 (2019) 6 - p. 3311-3347 , 2019

Link: https://www.jstor.org/st..

11

Optimal Exit Time from Casino Gambling: Strategies of Preco..:

He, Xue Dong ; Hu, Sang ; Obłój, Jan.
SIAM Journal on Control and Optimization. 57 (2019) 3 - p. 1845-1868 , 2019

Link: https://doi.org/10.1137/..

12

Two explicit Skorokhod embeddings for simple symmetric rand..:

He, Xue Dong ; Hu, Sang ; Obłój, Jan.
Stochastic Processes and their Applications. 129 (2019) 9 - p. 3431-3445 , 2019

Link: https://doi.org/10.1016/..

13

The Robust Superreplication Problem: A Dynamic Approach:

Carassus, Laurence ; Obłój, Jan ; Wiesel, Johannes
SIAM Journal on Financial Mathematics. 10 (2019) 4 - p. 907-941 , 2019

Link: https://doi.org/10.1137/..

14

Dynamically consistent investment under model uncertainty: ..:

Källblad, Sigrid ; Obłój, Jan ; Zariphopoulou, Thaleia
Finance and Stochastics. 22 (2018) 4 - p. 879-918 , 2018

Link: https://doi.org/10.1007/..

15

The robust pricing–hedging duality for American options in ..:

Aksamit, Anna ; Deng, Shuoqing ; Obłój, Jan.
Mathematical Finance. 29 (2018) 3 - p. 861-897 , 2018

Link: https://doi.org/10.1111/..