David Hobson

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All published works

Action	Title	Year	Authors
+ PDF Chat	A Step towards Automated and Generalizable Tactile Map Generation using Generative Adversarial Networks	2024	David Hobson Majid Komeili
+ PDF Chat	Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	2024	David Hobson Gechun Liang Enliang Wang
+ PDF Chat	Zero-sum Dynkin games under common and independent Poisson constraints	2024	David Hobson Gechun Liang Enliang Wang
+ PDF Chat	Portfolio Optimization under Transaction Costs with Recursive Preferences	2024	Martin Herdegen David Hobson Alex S. L. Tse
+ PDF Chat	Portfolio Optimization under Transaction Costs with Recursive Preferences	2024	Martin Herdegen David Hobson Alex S. L. Tse
+	An injective martingale coupling	2023	David Hobson Dominykas Norgilas
+ PDF Chat	A construction of the left-curtain coupling	2022	David Hobson Dominykas Norgilas
+ PDF Chat	The potential of the shadow measure	2022	Mathias Beiglböck David Hobson Dominykas Norgilas
+ PDF Chat	Proper solutions for Epstein-Zin Stochastic Differential Utility	2021	Martin Herdegen David Hobson Joseph W. Jerome
+ PDF Chat	Callable convertible bonds under liquidity constraints	2021	David Hobson Gechun Liang Haodong Sun
+	The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility	2021	David Hobson Martin Herdegen Joseph W. Jerome
+ PDF Chat	An elementary approach to the Merton problem	2021	Martin Herdegen David Hobson Joseph W. Jerome
+	The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility	2021	David Hobson Martin Herdegen Joseph W. Jerome
+	Callable convertible bonds under liquidity constraints	2021	David Hobson Gechun Liang Haodong Sun
+	A construction of the left-curtain coupling	2021	David Hobson Dominykas Norgilas
+	Proper solutions for Epstein-Zin Stochastic Differential Utility	2021	Martin Herdegen David Hobson Joseph W. Jerome
+ PDF Chat	The shape of the value function under Poisson optimal stopping	2020	David Hobson
+	The potential of the shadow measure	2020	Mathias Beiglböck David Hobson Dominykas Norgilas
+	An elementary approach to the Merton problem	2020	Martin Herdegen David Hobson Joseph W. Jerome
+	The shape of the value function under Poisson optimal stopping	2020	David Hobson
+ PDF Chat	An Elementary Approach to the Merton Problem	2020	Martin Herdegen David Hobson Joseph W. Jerome
+	The potential of the shadow measure	2020	Mathias Beiglböck David Hobson Dominykas Norgilas
+	An elementary approach to the Merton problem	2020	Martin Herdegen David Hobson Joseph W. Jerome
+	The shape of the value function under Poisson optimal stopping	2020	David Hobson
+ PDF Chat	Constrained optimal stopping, liquidity and effort	2019	David Hobson Matthew Zeng
+ PDF Chat	The left-curtain martingale coupling in the presence of atoms	2019	David Hobson Dominykas Norgilas
+	Constrained Optimal Stopping, Liquidity and Effort	2019	David Hobson Matthew Zeng
+	The left-curtain martingale coupling in the presence of atoms	2018	David Hobson Dominykas Norgilas
+	Optimal stopping and the sufficiency of randomized threshold strategies	2018	Vicky Henderson David Hobson Matthew Zeng
+	The left-curtain martingale coupling in the presence of atoms	2018	David Hobson Dominykas Norgilas
+	Robust bounds for the American Put	2017	David Hobson Dominykas Norgilas
+	Optimal Stopping and the Sufficiency of Randomized Threshold Strategies	2017	Vicky Henderson David Hobson Matthew Zeng
+	Robust bounds for the American Put	2017	David Hobson Dominykas Norgilas
+	On the value of being American	2016	David Hobson Anthony Neuberger
+	More on hedging American options under model uncertainty	2016	David Hobson Anthony Neuberger
+	Gambling in contests with random initial law	2016	Han Feng David Hobson
+ PDF Chat	Optimal Consumption and Sale Strategies for a Risk Averse Agent	2016	David Hobson Yeqi Zhu
+	A multi-asset investment and consumption problem with transaction costs	2016	David Hobson Alex S. L. Tse Yeqi Zhu
+	More on hedging American options under model uncertainty	2016	David Hobson Anthony Neuberger
+	Optimal consumption and investment under transaction costs	2016	David Hobson Alex S. L. Tse Yeqi Zhu
+	On the value of being American	2016	David Hobson Anthony Neuberger
+	Finite, integrable and bounded time embeddings for diffusions	2015	Stefan Ankirchner David Hobson Philipp Strack
+ PDF Chat	Integrability of solutions of the Skorokhod embedding problem for diffusions	2015	David Hobson
+ PDF Chat	Robust price bounds for the forward starting straddle	2014	David Hobson Martin Klimmek
+	Multi-asset consumption-investment problems with infinite transaction costs	2014	David Hobson Yeqi Zhu
+ PDF Chat	Optimal consumption and sale strategies for a risk averse agent	2014	David Hobson Yeqi Zhu
+ PDF Chat	GAMBLING IN CONTESTS WITH REGRET	2014	Han Feng David Hobson
+ PDF Chat	UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES	2014	Alexander M. G. Cox David Hobson Jan Obłój
+	Integrability of solutions of the Skorokhod Embedding Problem for Diffusions	2014	David Hobson
+ PDF Chat	Gambling in Contests with Random Initial Law	2014	David Hobson Han Feng
+	Optimal consumption and sale strategies for a risk averse agent	2014	David Hobson Yeqi Zhu
+	Multi-asset consumption-investment problems with infinite transaction costs	2014	David Hobson Yeqi Zhu
+	Integrability of solutions of the Skorokhod Embedding Problem for Diffusions	2014	David Hobson
+ PDF Chat	Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps	2013	David Hobson Martin Klimmek
+ PDF Chat	Fake exponential Brownian motion	2013	David Hobson
+	Robust price bounds for the forward starting straddle	2013	David Hobson Martin Klimmek
+	Gambling in contests with regret	2013	Han Feng David Hobson
+	Gambling in contests with regret	2013	Feng Han David Hobson
+	Robust price bounds for the forward starting straddle	2013	David Hobson Martin Klimmek
+	Fake Exponential Brownian Motion	2012	David Hobson
+ PDF Chat	Model-independent hedging strategies for variance swaps	2012	David Hobson Martin Klimmek
+	Fake Exponential Brownian Motion	2012	David Hobson
+ PDF Chat	Can time-homogeneous diffusions produce any distribution?	2011	Erik Ekström David Hobson Svante Janson Johan Tysk
+ PDF Chat	Constructing time-homogeneous generalized diffusions consistent with optimal stopping values	2011	David Hobson Martin Klimmek
+ PDF Chat	Recovering a time-homogeneous stock price process from perpetual option prices	2011	Erik Ekström David Hobson
+	Model independent hedging strategies for variance swaps	2011	David Hobson Martin Klimmek
+	Can time-homogeneous diffusions produce any distribution?	2011	Erik Ekström David Hobson Svante Janson Johan Tysk
+	Utility theory front to back - inferring utility from agents' choices	2011	Alexander M. G. Cox David Hobson Jan Obłój
+	Model independent hedging strategies for variance swaps	2011	David Hobson Martin Klimmek
+	Can time-homogeneous diffusions produce any distribution?	2011	Erik Ekström David Hobson Svante Janson Johan Tysk
+	Utility theory front to back - inferring utility from agents' choices	2011	Alexander M. G. Cox David Hobson Jan Obłój
+	Maximising functionals of the joint law of the maximum and terminal value in the Skorokhod embedding problem	2010	David Hobson Martin Klimmek
+ PDF Chat	Time-homogeneous diffusions with a given marginal at a random time	2010	Alexander M. G. Cox David Hobson Jan Obłój
+	Constructing Time-Homogeneous Generalised Diffusions Consistent with Optimal Stopping Values	2010	David Hobson Martin Klimmek
+	Time-Homogeneous Diffusions with a Given Marginal at a Random Time	2009	Alexander M. G. Cox David Hobson Jan Obłój
+ PDF Chat	An explicit solution for an optimal stopping/optimal control problem which models an asset sale	2008	Vicky Henderson David Hobson
+ PDF Chat	Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping	2008	Alexander M. G. Cox David Hobson Jan Obłój
+ PDF Chat	A unifying class of Skorokhod embeddings: connecting the Azéma–Yor and Vallois embeddings	2007	Alexander M. G. Cox David Hobson
+	Bounds for in-progress floating-strike Asian options using symmetry	2006	Vicky Henderson David Hobson William T. Shaw Rafał M. Wojakowski
+	A short proof of an identity for a Brownian Bridge due to Donati-Martin, Matsumoto and Yor	2006	David Hobson
+ PDF Chat	Skorokhod embeddings, minimality and non-centred target distributions	2005	Alexander M. G. Cox David Hobson
+	A unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings	2005	Alexander M. G. Cox David Hobson
+	STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE <i>q</i>‐OPTIMAL MEASURE	2004	David Hobson
+ PDF Chat	An optimal Skorokhod embedding for diffusions	2004	Alexander M. G. Cox David Hobson
+	A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation	2003	Vicky Henderson David Hobson Sam Howison Tino Kluge
+	Bounds for Floating-Strike Asian Options using Symmetry y	2003	Vicky Henderson David Hobson William T. Shaw Rafał M. Wojakowski
+	Skorokhod embeddings, minimality and non-centred target distributions	2003	Alexander M. G. Cox David Hobson
+	An Optimal Skorokhod Embedding for Diffusions	2002	Alexander M. G. Cox David Hobson
+ PDF Chat	Marked excursions and random trees	2000	David Hobson
+ PDF Chat	Taylor Expansions of Curve-Crossing Probabilities	1999	David Hobson David Williams Andrew T. A. Wood
+ PDF Chat	The maximum maximum of a martingale	1998	David Hobson
+	Non‐Colliding Brownian Motions on the Circle	1996	David Hobson Wendelin Werner
+	Escape rates for transient reflected brownian motion in wedges and cones	1996	R. Dante DeBlassie David Hobson Elizabeth A. Housworth Ellen H. Toby
+	Asymptotics for an arcsin type result	1994	David Hobson
+	Recurrence and transience of reflecting Brownian motion in the quadrant	1993	David Hobson L. C. G. Rogers
+ PDF Chat	Limit theorems for transient diffusions on the line	1991	David Hobson L. C. G. Rogers

Common Coauthors

Coauthor	Papers Together
Alexander M. G. Cox	12
Dominykas Norgilas	11
Martin Klimmek	10
Martin Herdegen	10
Joseph W. Jerome	8
Yeqi Zhu	7
Jan Obłój	6
Vicky Henderson	6
Alex S. L. Tse	4
Matthew Zeng	4
Gechun Liang	4
Anthony Neuberger	4
Han Feng	4
Erik Ekström	4
Johan Tysk	3
Mathias Beiglböck	3
Svante Janson	3
William T. Shaw	2
L. C. G. Rogers	2
Haodong Sun	2
Rafał M. Wojakowski	2
Enliang Wang	2
Feng Han	1
Ellen H. Toby	1
R. Dante DeBlassie	1
David Williams	1
Stefan Ankirchner	1
Tino Kluge	1
Elizabeth A. Housworth	1
Philipp Strack	1
Sam Howison	1
Wendelin Werner	1
Majid Komeili	1
Andrew T. A. Wood	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	Une solution simple au probleme de Skorokhod	1979	Jacques Azéma Marc Yor	14
+	Diffusions, Markov processes, and martingales	1979	L. C. G. Rogers David Williams	11
+	The Cereteli-Davis Solution to the H1-Embedding Problem and an Optimal Embedding in Brownian Motion	1986	Edwin Perkins	9
+ PDF Chat	A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options	2014	Alfred Galichon Pierre Henry‐Labordère Nizar Touzi	8
+	On a problem of optimal transport under marginal martingale constraints	2016	Mathias Beiglböck Nicolas Juillet	7
+ PDF Chat	Representation of Measures by Balayage from a Regular Recurrent Point	1992	Jean Bertoin Y. Le Jan	7
+ PDF Chat	On a Theorem of Skorohod	1968	Lester E. Dubins	7
+ PDF Chat	The Existence of Probability Measures with Given Marginals	1965	Volker Strassen	7
+ PDF Chat	The Skorokhod embedding problem and its offspring	2004	Jan Obłój	7
+ PDF Chat	Root’s barrier: Construction, optimality and applications to variance options	2013	Alexander M. G. Cox Jiajie Wang	6
+ PDF Chat	Skorokhod embeddings, minimality and non-centred target distributions	2005	Alexander M. G. Cox David Hobson	6
+ PDF Chat	Model-independent bounds for option prices—a mass transport approach	2013	Mathias Beiglböck Pierre Henry‐Labordère Friedrich Penkner	6
+	Diffusions, Markov Processes, and Martingales	2000	L. C. G. Rogers David Williams	5
+ PDF Chat	Potential processes	1977	R. V. Chacon	5
+ PDF Chat	On the distribution of maxima of martingales	1978	Lester E. Dubins David Gilat	5
+ PDF Chat	Stability of the shadow projection and the left-curtain coupling	2016	Nicolas Juillet	5
+	A Guided Tour through Excursions	1989	L. C. G. Rogers	5
+	Monotone martingale transport plans and Skorokhod embedding	2017	Mathias Beiglböck Pierre Henry‐Labordère Nizar Touzi	5
+ PDF Chat	Robust price bounds for the forward starting straddle	2014	David Hobson Martin Klimmek	5
+ PDF Chat	Robust pricing and hedging of double no-touch options	2011	Alexander M. G. Cox Jan Obłój	4
+	The Azéma–Yor embedding in non-singular diffusions	2001	Jesper Lund Pedersen Goran Peškir	4
+	Optimal Transport: Old and New	2013	Cédric Villani	4
+	On a Condition that One-Dimensional Diffusion Processes are Martingales	2006	Shinichi Kotani	4
+ PDF Chat	Canonical supermartingale couplings	2018	Marcel Nutz Florian Stebegg	4
+	The Maximality Principle Revisited: On Certain Optimal Stopping Problems	2007	Jan Obłój	4
+ PDF Chat	Model-independent hedging strategies for variance swaps	2012	David Hobson Martin Klimmek	4
+	Martingales with given maxima and terminal distributions	1990	Robert P. Kertz Uwe Rösler	4
+ PDF Chat	Sur l'integrabilite uniforme des martingales continues	1980	Jacques Azéma Richard F. Gundy Marc Yor	3
+ PDF Chat	An optimal Skorokhod embedding for diffusions	2004	Alexander M. G. Cox David Hobson	3
+	Handbook of Brownian Motion - Facts and Formulae	2002	A. N. Borodin Paavo Salminen	3
+	Embedding in Brownian motion with drift and the Azéma–Yor construction	2000	Peter Grandits Neil Falkner	3
+	Characterization of the Levy Measures of Inverse Local Times of Gap Diffusion	1981	Frank B. Knight	3
+ PDF Chat	Recovering a time-homogeneous stock price process from perpetual option prices	2011	Erik Ekström David Hobson	3
+ PDF Chat	A new proof of Kellerer’s theorem	2011	Francis Hirsch Bernard Roynette	3
+ PDF Chat	The geometry of multi-marginal Skorokhod Embedding	2019	Mathias Beiglböck Alexander M. G. Cox Martin Huesmann	3
+	Martingales associated to peacocks using the curtain coupling	2018	Nicolas Juillet	3
+ PDF Chat	The left-curtain martingale coupling in the presence of atoms	2019	David Hobson Dominykas Norgilas	3
+	Multiperiod martingale transport	2019	Marcel Nutz Florian Stebegg Xiaowei Tan	3
+ PDF Chat	Optimal switching at Poisson random intervention times	2016	Gechun Liang Wei Wei	3
+	Diffusion Processes and Their Sample Paths.	1996	PALE Kiyosi Itô H. P. McKean	3
+ PDF Chat	GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS	2008	Aurélien Alfonsi Benjamin Jourdain	3
+ PDF Chat	Constrained optimal stopping, liquidity and effort	2019	David Hobson Matthew Zeng	3
+	Identifying the volatility of underlying assets from option prices	2001	Jiang Li-shang Tao Youshan	3
+ PDF Chat	On Hedging American Options under Model Uncertainty	2015	Erhan Bayraktar Yu‐Jui Huang Zhou Zhou	3
+ PDF Chat	Mean stochastic comparison of diffusions	1985	Bruce Hajek	2
+	Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative	2003	Ben Hambly Götz Kersting Andreas E. Kyprianou	2
+ PDF Chat	A converse to the dominated convergence theorem	1963	David Blackwell Lester E. Dubins	2
+	Topology and geometry	1993	Glen E. Bredon	2
+ PDF Chat	Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs	2013	Jin Hyuk Choi Mihai Ŝırbu Gordan Žitković	2
+ PDF Chat	Foundations of Modern Probability	2021	Olav Kallenberg	2