39 citations · 110 across the 7 of their papers we have counts for
10 papers
Local times and Tanaka--Meyer formulae for càdlàg paths
Rafał M. Łochowski, Jan Obłój, David J. Prömel +1
Three concepts of local times for deterministic c{à}dl{à}g paths are developed and the corresponding pathwise Tanaka--Meyer formulae are provided. For semimartingales, it is shown…
Dual attainment for the martingale transport problem
Mathias Beiglboeck, Tongseok Lim, Jan Obłój
We investigate existence of dual optimizers in one-dimensional martingale optimal transport problems. While [BNT16] established such existence for weak (quasi-sure) duality, [BHP13…
Two explicit Skorokhod embeddings for simple symmetric random walk
Xuedong He, Sang Hu, Jan Obłój +1
Motivated by problems in behavioural finance, we provide two explicit constructions of a randomized stopping time which embeds a given centered distribution on integers into a…
Structure of martingale transports in finite dimensions
Jan Obłój, Pietro Siorpaes
We study the structure of martingale transports in finite dimensions. We consider the family of martingale measures on with g…
Robust framework for quantifying the value of information in pricing and hedging
Anna Aksamit, Zhaoxu Hou, Jan Obłój
We investigate asymmetry of information in the context of robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock p…
Pathwise Stochastic Calculus with Local Times
Mark Davis, Jan Obłój, Pietro Siorpaes
We study a notion of local time for a continuous path, defined as a limit of suitable discrete quantities along a general sequence of partitions of the time interval. Our approach…