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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
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Research Interests:
I am a University Research Lecturer at the Mathematical Institute 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 a 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:
- 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)
- 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.
- with A.M.G. Cox. Robust pricing and hedging of double no-touch options, Finance and Stochastics, 15(3): 573–605, 2011. PDF
- with A.M.G. Cox. Robust hedging of double touch barrier options, SIAM Journal on Financial Mathematics, 2: 141–182, 2011. PDF
- 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
- with M. Pistorius. On an explicit Skorokhod embedding for spectrally negative Levy processes. J. Theoret. Probab., 22(2): 418–440, 2009. PDF
- 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
- 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
- Fine-tune your smile: Correction to Hagan et al. Wilmott Magazine, May 2008.
- 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.
- A complete characterization of local martingales which are functions of Brownian motion and its maximum. Bernoulli, 12: 955–969, 2006. PDF
- The Skorokhod embedding problem and its offspring. Probability Surveys, 1: 321–392, 2004.
For a complete list please see the CV.
Recent pre-prints:
- with V. Cherny Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model, 2011
- with A.M.G. Cox and D. Hobson. Utility theory front to back - inferring utility from agents' choices, 2011.
- with M. Davis and V. Raval. Arbitrage Bounds for Weighted Variance Swap Prices, 2011
- with P. Guasoni. The Incentives of Performance Fees and High Water Marks, 2010.
Teaching:
In the Hillary Term 2011 I taught Financial Derivatives 2 and Fixed Income Markets, both on the MSc in Mathematical and Computational Finance.
I am not teaching any courses this term. I will be teaching the Fixed Income course next term.
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