Contacting Members

Dr Jan Obloj

Dr Jan Obloj

Dr Jan Obloj

eMail: Jan [dot] Obloj [-at-] maths [dot] ox [dot] ac [dot] uk
Contact Form

CV: cv_current_long.pdf

Phone Number(s):

Reception/Secretary: +44 1865 273525
Direct: +44 1865 270124

Office: DH5

Departmental Address:

Mathematical Institute
24-29 St Giles'
Oxford
OX1 3LB
England

Research Interests: 

I am a University Lecturer at the Mathematical Institute, Fellow of St John's College and a member of the Oxford-Man Institute of Quantitative Finance. Before coming to Oxford I was a Marie Curie Post-Doctoral Fellow at Imperial College London. I hold a Ph.D. degree in Mathematics from University Paris VI and Warsaw University.

I've been focusing recently on the robust approach to Mathematical Finance, which does not start with an a priori model but rather with the information available in the markets. My general interest are in Mathematical Finance and its interplay with Probability Theory and I look at a number of different problems where tools from martingale theory and stochastic analysis can be applied. Examples include: market completion using options, volatility derivatives and extrapolation of implied volatility surface, portfolio optimisation under pathwise constraints and hedge-funds managers incentive schemes.

Prizes, Awards and Scholarships: 

Bruti-Liberati Fellow at the University of Technology Sydney, Australia, Dec 2011
Teaching Award, University of Oxford, 2010
Marie-Curie IntraEuropean Fellowship at Imperial College London, 2006-2008
French Government Co-Tutelle Scholarship, 2002-2005
(please see the CV for a full list)

Major/Recent Publications: 
(For a complete list please see the CV)
  1. with V. Cherny Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model, to appear in Finance & Stochastics
  2. with M. Davis and V. Raval. Arbitrage Bounds for Weighted Variance Swap Prices, Mathematical Finance (published online) PDF
  3. with F. Ulmer. Performance of Robust Hedges for Digital Double Barrier Options, International Journal of Theoretical and Applied Finance, 15(1): 1250003 (34 pages), 2012. PDF (preprint)
  4. with L. Carraro and N. El Karoui. On Azéma-Yor martingales, their optimal properties and the Bachelier-Drawdown Equation, Annals of Probability, 40(1): 372–400, 2012.
  5. with A.M.G. Cox. Robust pricing and hedging of double no-touch options, Finance and Stochastics, 15(3): 573–605, 2011. PDF
  6. with A.M.G. Cox. Robust hedging of double touch barrier options, SIAM Journal on Financial Mathematics, 2: 141–182, 2011. PDF
  7. with A.M.G. Cox and D. Hobson. Time homogeneous diffusion with a given marginal at a random time, ESAIM: PS, 15: 11–24, 2011. (special volume in honour of Marc Yor). PDF
  8. with M. Pistorius. On an explicit Skorokhod embedding for spectrally negative Levy processes. J. Theoret. Probab., 22(2): 418–440, 2009. PDF
  9. with Mark Davis. Market Completion using Options. in: Stettner, L. (ed). Advances in Mathematics of Finance. Banach Center Publications, 83: 49–60. Polish Academy of Sciences, Institute of Mathematics, Warsaw, 2008. PDF
  10. with A.M.G. Cox and D. Hobson. Pathwise inequalities for local time: applications to Skorokhod embeddings and optimal stopping. Ann. Appl. Probab., 18(5): 1870–1896, 2008. PDF
  11. Fine-tune your smile: Correction to Hagan et al. Wilmott Magazine, May 2008.
  12. with A.M.G. Cox. Classes of measures which can be embedded in the Simple Symmetric Random Walk. Journal of Electronic Probability, 13: 1203–1228, 2008.
  13. A complete characterization of local martingales which are functions of Brownian motion and its maximum. Bernoulli, 12: 955–969, 2006. PDF
  14. The Skorokhod embedding problem and its offspring. Probability Surveys, 1: 321–392, 2004.
Recent pre-prints:
  1. with P. Henry-Labordère, N. Touzi and P. Spoida. The Maximum maximum of martingales given marginals, 2013.
  2. with P. Spoida. An Iterated Azéma-Yor Type Embedding for Finitely Many Marginals, 2013
  3. with C. Kardaras and E. Platen. The numeraire property and long-term growth optimality for drawdown-constrained investments, 2012
  4. with A.M.G. Cox and D. Hobson. Utility theory front to back - inferring utility from agents' choices, 2011.
  5. with P. Guasoni. The Incentives of Performance Fees and High Water Marks, 2010.
Teaching: 

I am currently on sabbatical leave.

Further Details: 

In August 2012 I gave a lecture course during the 5th European Summer School in Financial Mathematics. Introductory slides for the course are available here while a work-in-progress version of the notes is here.

In March 2010, I organised the first Robust Methods in Quantitative Finance Conference at the Oxford-Man Institute.

The correct spelling of my last name in LaTeX is: Ob{\l}{\'o}j

Regratably I can not offer any student interships at the moment.

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