# Jan Obłój

**Jan Obłój** is a Professor of Mathematics at the Mathematical Institute where he is a member of the Mathematical and Computational Finance Group. Before coming to Oxford he was a Marie Curie Postdoctoral Fellow at Imperial College London.

He holds a PhD in Mathematics from the University Paris IV and Warsaw University. His general interest is in mathematical finance and its interplay with probability theory, and he looks at a number of different problems where tools from martingale theory and stochastic analysis can be applied.

Recent areas of focus include: robust pricing and hedging of exotic derivatives via the Skorokhod embedding problem, comparative performance of robust and classical hedging methods, portfolio optimisation under pathwise constraints and hedge-funds managers’ incentive schemes, inverse problems for utility maximisation.

## Working Paper

*Maximum maximum of Martingales given marginals*.

*Robust pricing and hedging with beliefs about realized variance*.

*Matingale inequalities via pathwise arguments*.

*Optimal casino betting: why lucky coin and good memory are important*.

*Robust pricing and hedging under trading restrictions and the emergence of local martingale models*.

*Time--consistent investment under model uncertainty: the robust forward criteria*.

*An interated Azema-Yor type embedding for finitely many marginals*.

*Optimal portfolios of a long-term investor with floor or drawdown constraints*.

## Published Research

*Finance and Stochastics*. 15 (3). 573-605.

*Mathematical Finance*. 24 (4). 821-854.

*International Journal of Theoretical and Applied Finance*. 17 (3).

*Finance and Stochastics*. 17 (4). p771-800.

*International Journal of Theoretical and Applied Finance*. 15 (1). tba.

*Annals of Probability*. 40 (1). 372-400.

*J. Theoret. Probab.*. 22 (2). 418-440.

*Mathematical Finance*. Forthcoming. Forthcoming.

*Annals of Probability*. 40 (1). 372-400.

*Annals of Applied Probability*. 18 (5). 1870-1896.

*Journal of Electronic Probability*. 13. 1203-1228.

*Advances in Mathematics of Finance*. 83. 49-60.

*Wilmott Magazine*. tbc. tbc.

*Stochastic Processes and their applications*. Forthcoming. Forthcoming.

*Mathematical Finance*. Forthcoming. Forthcoming.