Prof. Jan Obloj
Professor of Mathematics
Fellow and Tutor in Mathematics at St John's College
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
With Thaleia Zariphopoulou, I had the honour to co-edit this special issue and our introduction.
For a complete list please see the CV
- with S. Hu and X. Zhou. A Casino Gambling Model Under Cumulative Prospect Theory: Analysis and Algorithm. Management Sci. 69(4): 2474-2496.
- with I. Guo, G. Loeper and S. Wang. Joint Modelling and Calibration of SPX and VIX by Optimal Transport. SIAM J. on Financial Math., 13(1): 1-31, 2022.
- with I. Guo, G. Loeper and S. Wang. Optimal transport for model calibration. Risk: Cutting Edge, Jan 2022.
- with D. Bartl, S. Drapeau and J. Wiesel. Sensitivity analysis of Wasserstein distributionally robust optimization problems. Proc. R. Soc. A, 477: 20210176, 2021.
- with J. Wiesel. Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets, Math. Finance., 31(4): 1454-1493, 2021.
- with R. Lochowski, D. Promel and P. Siorpaes. Local times and Tanaka-Meyer formulae for cadlag paths, Electronic Journal of Probability, 26: 1-29, 2021.
- with S. Eckstein, G. Guo and T. Lim. Robust pricing and hedging of options on multiple assets and its numerics, SIAM J Financial Math. 12(1): 158-188, 2021.
- with J. Wiesel. A unified Framework for Robust Modelling of Financial Markets in discrete time, Finance Stoch, 25: 427-468, 2021.
- with J. Wiesel. Robust estimation of superhedging prices, Ann. Stat. 49(1): 508-530, 2021.
- with A. Aksamit and Z. Hou. Robust framework for quantifying the value of information in pricing and hedging, SIAM J. Financial Math. 11(1): 27-59, 2020.
- with M. Fukasawa. Efficient discretisation of stochastic differential equations, Stochastics (online first).
- with L. Carassus and J. Wiesel. The robust superreplication problem: a dynamic approach, SIAM J. Financial Math. 10(4): 907–941, 2019.
- with G. Guo. Computational Methods for Martingale Optimal Transport problems, Ann. App. Probab. 29(6): 3311-3347, 2019.
- with M. Burzoni, M. Frittelli, Z. Hou and M. Maggis. Pointwise Arbitrage Pricing Theory in Discrete Time, Math. Oper. Res. 43(3): 1034-1057, 2019.
- with X. He, S. Hu and X. Zhou. Optimal Exit Time from Casino Gambling: Strategies of Pre-Committed and Naive Gamblers. SIAM J. Control Optim. 57(3): 1845–1868, 2019.
- with A. Aksamit, S. Deng and X. Tan. Robust pricing-hedging duality for American options in discrete time financial markets, Math. Finance 29(3): 861-897, 2019.
- with A. Cox and N. Touzi. The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reveral approach, Probab. Theory Relat. Fields 173: 211-259, 2019.
- with Z. Hou. Robust pricing-hedging dualities in continuous time, Finance Stoch. 22(3): 511-567, 2018.
- with M. Beiglboeck and T. Lim. Dual attainment for the martingale transport problem, Bernoulli 25(3): 1640-1658, 2019.
- with S. Kallblad and T. Zariphopoulou. Dynamically consistent investment under model uncertainty: the robust forward criteria, Finance Stoch. 22(4): 879-918, 2018.
- with M. Davis and P. Siorpaes. Pathwise stochastic calculus with local times, Ann. Inst. H. Poincaré Probab. Statist. 54(1): 1-21, 2018.
- with X. He, S. Hu and X. Zhou. Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model, Operations Research 65(1): 97-103, 2017 (SSRN).
- with P. Spoida. An Iterated Azema-Yor Type Embedding for Finitely Many Marginals, Ann. Probab. 45(4), 2017, 2210-2247
- with C. Kardaras and E. Platen. The numeraire property and long-term growth optimality for drawdown-constrained investments, Mathematical Finance, 27(1): 68-95, 2017.
- with P. Guasoni. The Incentives of Performance Fees and High Water Marks, Mathematical Finance, 26(2): 269-295, 2016. PDF
- with V. Cherny Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model, Finance Stoch, 17(4): 771--800, 2013. PDF
- with M. Davis and V. Raval. Arbitrage Bounds for Weighted Variance Swap Prices, Mathematical Finance 24(4): 821-854, 2013. PDF
- with L. Carraro and N. El Karoui. On Azema-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 Stoch, 15(3): 573--605, 2011. PDF
- Fine-tune your smile: Correction to Hagan et al. Wilmott Magazine, May 2008.
- The Skorokhod embedding problem and its offspring. Probability Surveys, 1: 321--392, 2004.
Recent pre-prints:
- with X. Bai, G. He and Y. Jiang, Wasserstein distributional robustness of neural networks, 2023.
- with B. Joseph and G. Loeper, Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport, 2023.
- with P. Siorpaes. Structure of martingale transports in finite dimensions, 2017.
I work in the Mathematical and Computational Finance and Stochastic Analysis research groups at the Mathematical Institute, am an Official 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 have a general interest in Mathematical Finance and its interplay with Probability Theory and Statistics. My main focus is on robust approach to Mathematical Finance and data-driven paradigm in modelling and optimisation. The ensuing problems are often interdisciplinary. In particular, I am currently involved with (martingale) optimal transport theory, both its theory and numerical methods.
I am immensely proud to have been awarded the 2022 Hugo Steinhaus Award by the Polish Mathematical Society.
Elected Fellow of the Institute of Mathematical Statistics, 2022.
International visitor, University of Sydney Mathematical Research Institute, 2019.
Recognition of Distinction, University of Oxford, 2015
ERC Starting Grant, 2013-2018.
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)
Editorial Roles:
I serve as an Associate Editor for
- Finance and Stochastics
- Stochastic Processes and their Applications
- SIAM Journal on Financial Mathemtics
- Mathematics and Financial Economics
- Applied Mathematical Finance
I am a guest editor at the Mathematical Finance co-editing with Thaleia Zariphopoulou a special issue dediacted to the memory of Mark H.A. Davis.
Selection of videos online:
You can hear about my contributions and views on the robust approach to financial mathematics here:
I teach both undergraduate and graduate material.
This year, I taught third year undergradaute course B8.1 Probability, Measure and Martingales and two courses on the MSc in Mathematical and Computational Finance: Quantitative Risk Management and Market Microstructure and Algorithmic Trading.
I am currently an examiner for the Honour School of Mathematics Part A.
My group organised a major Conference on Robust Techniques in Quantitative Finance in Oxford, 3-7 September 2018.
This follows on from a series of smaller workshop, including one on Martingale Optimal Transport in 2017, and one on Skorokhod Embeddings in 2016.
Since 2014 I gave three invited graduate courses on the Skorokhod embedding problem and its links to (robust) financial mathematics. A work-in-progress version of the lecture notes is here.
The correct spelling of my last name in LaTeX is: Ob{\l}{\'o}j
Regrettably I can not offer any student internships at the moment.
