Concepedia

Jan Obłój

JO

28

Publications

1K

Citations

17

H-Index

2003

Active since

Affiliations

University of Oxford(Current)

Columbia University

University of Bath

Mathematical Institute of the Slovak Academy of Sciences

University of Warwick

Jan Obłój is an author at University of Oxford specializing in business, finance, and engineering.

Top concepts

BusinessFinanceEngineeringProbabilityEconomicsAsset PricingManagementOption PricingMathematical ProgrammingFinancial Engineering

Publications per year

2003–2022

28

Publications

28

The Skorokhod embedding problem and its offspring

Jan Obłój · Probability Surveys · 2004 · 256 citations · Full text

Integral Geometry, Combinatorics On Word, Engineering +7

Robust pricing and hedging of double no-touch options

Alexander M. G. Cox, Jan Obłój · Finance and Stochastics · 2011 · 143 citations

Mathematical Programming, Option Pricing, Dynamic Pricing +6

ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS

Mark H. Davis, Jan Obłój, Vimal Raval · Mathematical Finance · 2013 · 72 citations

Mathematical Programming, Option Pricing, Engineering +13

Computational methods for martingale optimal transport problems

Gaoyue Guo, Jan Obłój · The Annals of Applied Probability · 2019 · 66 citations

Robust pricing–hedging dualities in continuous time

Zhaoxu Hou, Jan Obłój · Finance and Stochastics · 2018 · 57 citations · Full text

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