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
My complete list of Publications is available here. Recent preprints include:
- with Y. Jiang, Sensitivity of causal distributionally robust optimization, 2024.
- with J. Backhoff and G. Loeper, Geometric Martingale Benamou-Brenier transport and geometric Bass martingales, 2024.
- with B. Joseph and G. Loeper, Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport, 2023.
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 mathematics of randomness. Most of my research sits at the crossroads of various fields, including: probability theory, statistics, mathematical finance, operations research, optimal transportation and data science. My main focus is on robustness of the modelling pathways from input out outputs, ways to understand and quantify it. My research spans the spectrum from theoretical foundations of robust pricing and hedging paradigm in mathematical finance, to practical questions of building fast generic ways to approximate adversarial robustness of deep neural networks. A significant part of my recent research involves techniques from optimal transport (OT), in particular in relation to the martingale OT problem and adapted OT, as I find these problems endlessly fascinating and beautiful.
Selection of research talks online:
General public talks and interviews online:
(in polish)
(in polish)
Conferences in Oxford
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.
Miscellaneous:
The correct spelling of my last name in LaTeX is: Ob{\l}{\'o}j
Regrettably I cannot offer any student internships at the moment.
I teach both undergraduate and graduate material.
This year, I teach third year undergradaute course B8.1 Probability, Measure and Martingales as well as Introduction to Probability for MCF MSc students.
I gave several invited graduate courses on the Skorokhod embedding problem, (robust) financial mathematics, and optimal transport methods in mathematical finance. My old lecture notes on some of these topics are available here. I am currently giving a graduate course at ENSAE Paris. The Lecture notes are available here: l1, l2, l3, l4, l5, l6, MOT Slides, General Slides, DRO Slides, SOT Slides.
I am honoured to serve as the current President of the Bachelier Finance Society.
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 (335421-ROBUSTFINMATH), 2014-2018
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
I serve as an Associate Editor for
- Mathematical Finance
- Finance and Stochastics
- Stochastic Processes and their Applications
- SIAM Journal on Financial Mathemtics
- Mathematics and Financial Economics
I was a guest editor at the Mathematical Finance co-editing with Thaleia Zariphopoulou a special issue dediacted to the memory of Mark H.A. Davis.