Jan Obłój

Mathematical Institute of the Slovak Academy of Sciences — SK

Economics, Econometrics and Finance · Social Sciences

20h-index1.5kcitations126works0.52yr avg
OpenAlex↗ORCID↗Google Scholar↗Lab page↗

Accepting Students?

No reports yet. Know if this professor is taking students?

Research Topics

Stochastic processes and financial applications(84), Financial Markets and Investment Strategies(33), Economic theories and models(31), Risk and Portfolio Optimization(22), Financial Risk and Volatility Modeling(15)

Publications126 total

Robust Pricing and Hedging of American Options in Continuous Time
arXiv (Cornell University)·2025Open Access
Geometric martingale Benamou–Brenier transport and geometric Bass martingales
Proceedings of the American Mathematical Society·2025· 1 citedOpen Access
Wasserstein distributional adversarial training for deep neural networks
arXiv (Cornell University)·2025Open Access
Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport
Quantitative Finance·2024· 2 citedOpen Access
Sensitivity of causal distributionally robust optimization
arXiv (Cornell University)·2024Open Access
Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
arXiv (Cornell University)·2024Open Access
Joint Calibration of Local Volatility Models with Stochastic Interest Rates using Semimartingale Optimal Transport
arXiv (Cornell University)·2023Open Access
Wasserstein distributional robustness of neural networks
arXiv (Cornell University)·2023· 1 citedOpen Access
Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport
arXiv (Cornell University)·2023Open Access
Erratum: The Robust Superreplication Problem: A Dynamic Approach
SIAM Journal on Financial Mathematics·2022· 3 cited
A Casino Gambling Model Under Cumulative Prospect Theory: Analysis and Algorithm
Management Science·2022· 17 cited
Joint Modeling and Calibration of SPX and VIX by Optimal Transport
SIAM Journal on Financial Mathematics·2022· 20 cited
Joint modelling and calibration of SPX and VIX by optimal transport
Oxford University Research Archive (ORA) (University of Oxford)·2022· 4 cited
Sensitivity analysis of Wasserstein distributionally robust optimization problems
Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences·2021· 21 citedOpen Access
In memoriam: Mark H. A. Davis and his contributions to mathematical finance
Mathematical Finance·2021
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
Mathematical Finance·2021· 12 cited
A unified framework for robust modelling of financial markets in discrete time
Finance and Stochastics·2021· 10 citedOpen Access
Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets
arXiv (Cornell University)·2021Open Access
Distributionally robust portfolio maximisation and marginal utility\n pricing in one period financial markets
arXiv (Cornell University)·2021Open Access
When to Quit Gambling, if You Must!
arXiv (Cornell University)·2021Open Access
page 1 of 7Next →

Frequent Co-authors

Alexander M. G. Cox(8), Johannes Wiesel(5), Gaoyue Guo(4), Zhaoxu Hou(4), Sang Hu(4), Xun Yu Zhou(4), Peter Spoida(4), Nizar Touzi(3), Tongseok Lim(3), Xue Dong He(3), Mark H. Davis(2), Vimal Raval(2), Paolo Guasoni(2), Pierre Henry‐Labordère(2), Sigrid Källblad(2), Thaleia Zariphopoulou(2), Daniel Bartl(2), Samuel Drapeau(2), David Hobson(2), Stephan Eckstein(2)