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Number of items: 45.
Journal Article
Henderson, Vicky, Hobson, David and Zeng, Matthew (2023) Cautious Stochastic Choice, optimal stopping and deliberate randomization. Economic Theory, 75 . pp. 887-922. doi:10.1007/s00199-022-01428-2 ISSN 0938-2259.
Herdegen, Martin, Hobson, David G. and Jerome, Joseph (2023) The infinite horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : Foundations. Finance and Stochastics, 27 . pp. 127-158. doi:10.1007/s00780-022-00495-6 ISSN 0949-2984.
Herdegen, Martin, Hobson, David G. and Jerome, Joseph (2023) The infinite horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II : Existence, uniqueness and verification for Οβ(0,1). Finance and Stochastics, 27 . pp. 159-188. doi:10.1007/s00780-022-00496-5 ISSN 0949-2984.
Hobson, David G. and Norgilas, Dominykas (2022) A construction of the left-curtain coupling. Electronic Journal of Probability, 27 . pp. 1-46. 147. doi:10.1214/22-ejp868 ISSN 1083-6489.
Hobson, David and Zeng, Matthew (2022) Constrained optimal stopping, liquidity and effort. Stochastic Processes and their Applications, 150 . pp. 819-843. doi:10.1016/j.spa.2019.10.010 ISSN 0304-4149.
BeiglbΓΆck, Mathias, Hobson, David (David G.) and Norgilas, Dominykas (2022) The potential of the shadow measure. Electronic Communications in Probability, 27 . pp. 1-12. doi:10.1214/22-ecp457 ISSN 1083-589X.
Herdegen, Martin, Hobson, David G. and Jerome, Joseph (2021) An elementary approach to the Merton problem. Mathematical Finance, 31 (4). pp. 1218-1239. doi:10.1111/mafi.12311 ISSN 0960-1627.
Hobson, David (David G.) (2021) The shape of the value function under Poisson optimal stopping. Stochastic Processes and their Applications, 133 . pp. 229-246. doi:10.1016/j.spa.2020.12.001 ISSN 0304-4149.
Hobson, David (David G.) and Zeng, Matthew (2020) Randomised rules for stopping problems. Journal of Applied Probability, 57 (3). pp. 981-1004. doi:10.1017/jpr.2020.43 ISSN 0021-9002.
Hobson, David, Tse, Alex S. L. and Zhu, Yeqi (2019) A multi-asset investment and consumption problem with transaction costs. Finance and Stochastics, 23 (3). pp. 641-676. doi:10.1007/s00780-019-00391-6 ISSN 0949-2984.
Hobson, David G., Tse, Alex Sing-Lam and Zhu, Yeqi (2019) Optimal consumption and investment under transaction costs. Mathematical Finance, 29 (2). pp. 483-506. doi:10.1111/mafi.12187 ISSN 0960-1627.
Hobson, David G. and Norgilas, Dominykas (2019) Robust bounds for the American put. Finance and Stochastics, 23 (2). pp. 359-395. doi:10.1007/s00780-019-00385-4 ISSN 0949-2984.
Hobson, David G. and Norgilas, Dominykas (2019) The left-curtain martingale coupling in the presence of atoms. The Annals of Applied Probability, 29 (3). pp. 1904-1928. doi:10.1214/18-AAP1450 ISSN 1050-5164.
Henderson, Vicky, Hobson, David G. and Tse, Alex S. L. (2018) Probability weighting, stop-loss and the disposition effect. Journal of Economic Theory, 178 . pp. 360-397. doi:10.1016/j.jet.2018.10.002 ISSN 0022-0531.
Hobson, David G., Henderson, Vicky and Zeng, Matthew (2018) Optimal stopping and the sufficiency of randomised threshold strategies. Electronic Communications in Probability, 23 (30). pp. 1-11. doi:10.1214/18-ECP125 ISSN 1083-589X.
Henderson, Vicky, Hobson, David G. and Tse, Alex Sing-Lam (2017) Randomized strategies and prospect theory in a dynamic context. Journal of Economic Theory, 168 . pp. 287-300. doi:10.1016/j.jet.2017.01.003 ISSN 0022-0531.
Hobson, David G. and Neuberger, Anthony (2017) Model uncertainty and the pricing of American options. Finance and Stochastics, 21 (1). pp. 285-329. doi:10.1007/s00780-016-0314-2 ISSN 0949-2984.
Hobson, David G. and Zhu, Yeqi (2016) Optimal consumption and sale strategies for a risk averse agent. SIAM Journal on Financial Mathematics, 7 (1). pp. 674-719. doi:10.1137/140982738 ISSN 1945-497X .
Hobson, David G. (2016) Mimicking martingales. Annals of Applied Probability, 26 (4). pp. 2273-2303. 1472745459. doi:10.1214/15-AAP1147 ISSN 1050-5164.
Feng, Han and Hobson, David (David G.) (2016) Gambling in contests with regret. Mathematical Finance, 26 (3). pp. 674-695. doi:10.1111/mafi.12069 ISSN 0960-1627.
Feng, Han and Hobson, David (2016) Gambling in contests with random initial law. Annals of Applied Probability, 26 (1). pp. 186-215. ISSN 1050-5164.
Hobson, David (David G.) (2015) Integrability of solutions of the Skorokhod embedding problem for diffusions. Electronic Journal of Probability, 20 . 83. doi:10.1214/EJP.v20-4121 ISSN 1083-6489.
Ankirchner, Stefan, Hobson, David (David G.) and Strack, Philipp (2015) Finite, integrable and bounded time embeddings for diffusions. Bernoulli, 21 (2). pp. 1067-1088. doi:10.3150/14-BEJ598 ISSN 1350-7265.
Feng, Han and Hobson, David (David G.) (2015) Gambling in contests modelled with diffusions. Decisions in Economics and Finance , 38 (1). pp. 21-37. doi:10.1007/s10203-014-0156-3 ISSN 1593-8883.
Hobson, David (David G.) and Klimmek, Martin (2014) Robust price bounds for the forward starting straddle. Finance and Stochastics . doi:10.1007/s00780-014-0249-4 ISSN 0949-2984.
Cox, Alexander M. G., Hobson, David (David G.) and Obloj, Jan (2014) Utility theory front to back - inferring utility from agents' choices. International Journal of Theoretical and Applied Finance, Volume 17 (Number 3). doi:10.1142/S0219024914500186 ISSN 0219-0249.
Hobson, David (David G.) (2013) Fake exponential Brownian motion. Statistics & Probability Letters, Volume 83 (Number 10). pp. 2386-2390. doi:10.1016/j.spl.2013.06.030 ISSN 0167-7152.
Hobson, David (David G.) and Klimmek, Martin (2013) Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps. The Annals of Applied Probability, Volume 23 (Number 5). pp. 2020-2052. doi:10.1214/12-AAP893 ISSN 1050-5164.
Henderson, Vicky and Hobson, David (David G.) (2013) Risk aversion, indivisible timing options and gambling. Operations Research, Volume 61 (Number 1). p. 126. doi:10.1287/opre.1120.1131 ISSN 0030-364X.
Hobson, David and Klimmek, Martin (2012) Model-independent hedging strategies for variance swaps. Finance and Stochastics, Vol.16 (No.4). pp. 611-649. doi:10.1007/s00780-012-0190-3 ISSN 0949-2984.
Hobson, David (David G.) and Neuberger, Anthony (2012) Robust bounds for forward start options. Mathematical Finance, Vol.22 (No.1). pp. 31-56. doi:10.1111/j.1467-9965.2010.00473.x ISSN 0960-1627.
EkstrΓΆm, Erik, Hobson, David (David G.), Janson, Svante and Tysk, Johan (2011) Can time-homogeneous diffusions produce any distribution? Probability Theory and Related Fields, Volume 55 (Number 3-4). pp. 493-520. doi:10.1007/s00440-011-0405-0 ISSN 0178-8051.
Hobson, David (David G.) and Klimmek, Martin (2011) Constructing time-homogeneous generalized diffusions consistent with optimal stopping values. Stochastics An International Journal of Probability and Stochastic Processes, Vol.83 (No.4-6). pp. 477-503. doi:10.1080/17442508.2010.522237 ISSN 1744-2508.
EkstrΓΆm, Erik and Hobson, David (David G.) (2011) Recovering a time-homogeneous stock price process from perpetual option prices. The Annals of Applied Probability, Vol.21 (No.3). pp. 1102-1135. doi:10.1214/10-AAP720 ISSN 1050-5164.
Cox, A. M. G., Hobson, David (David G.) and ObΕΓ³j, Jan (2011) Time-homogeneous diffusions with a given marginal at a random time. ESAIM: Probability and Statistics, Vol.15 . S11-S24. doi:10.1051/ps/2010021 ISSN 1292-8100.
Hobson, David (David G.) (2010) Comparison results for stochastic volatility models via coupling. Finance and Stochastics, Vol.14 (No.1). pp. 129-152. doi:10.1007/s00780-008-0083-7 ISSN 0949-2984.
Henderson, Vicky and Hobson, David (David G.) (2010) Optimal liquidation of derivative portfolios. Mathematical Finance, Volume 21 (Number 3). pp. 365-382. doi:10.1111/j.1467-9965.2010.00455.x ISSN 0960-1627.
Evans, J. (Jonathan), Henderson, Vicky and Hobson, David (David G.) (2008) Optimal timing for an indivisible asset sale. Mathematical Finance, Vol.18 (No.4, Sp. Iss. SI). pp. 545-567. doi:10.1111/j.1467-9965.2008.00347.x ISSN 0960-1627.
Cox, A. M. G., Hobson, David (David G.) and ObΕΓ³j, Jan (2008) Pathwise inequalities for local time : applications to skorokhod embeddings and optimal stopping. Annals of Applied Probability, Vol.18 (No.5). pp. 1870-1896. doi:10.1214/07-AAP507 ISSN 1050-5164.
Henderson, Vicky and Hobson, David (David G.) (2008) An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Annals of Applied Probability, Vol.18 (No.5). pp. 1681-1705. doi:10.1214/07-AAP511 ISSN 1050-5164.
Henderson, Vicky and Hobson, David (David G.) (2008) Perpetual American options in incomplete markets : the infinitely divisible case. Quantitive Finance, Vol.8 (No.5). pp. 461-469. doi:10.1080/14697680701400986 ISSN 1469-7688.
Davis, Mark H. A. and Hobson, David (David G.) (2007) The range of traded option prices. Mathematical Finance, Volume 17 (Number 1). pp. 1-14. doi:10.1111/j.1467-9965.2007.00291.x ISSN 0960-1627.
Book Item
Hobson, David (David G.) (2011) The Skorokhod embedding problem and model-independent bounds for option prices. In: Cousin , Areski, (ed.) Paris-Princeton Lectures on Mathematical Finance 2010. Lecture Notes in Mathematics, Vol.2003 . London ; New York: Springer, pp. 267-318. ISBN 9783642146596
Henderson, Vicky and Hobson, David (David G.) (2009) Utility indifference pricing : an overview. In: Carmona, R. (Rene), (ed.) Indifference Pricing : Theory and Applications. Princeton : Princeton University Press, pp. 44-74. ISBN 9781400833115
Conference Item
Henderson, Vicky and Hobson, David (David G.) (2007) Horizon-unbiased utility functions. In: 3rd Cornell, Columbia, Carnegie-Mellon, Princeton Conference on Mathematical Finance (CCCP), New York, NY, 28-29 Apr 2006. Published in: Stochastic Processes and their Applications, Vol.117 (No.11). pp. 1621-1641. doi:10.1016/j.spa.2007.03.013 ISSN 0304-4149.
This list was generated on Tue Apr 23 15:59:10 2024 BST.