Skip to main content Skip to navigation

David Hobson's Publications Page

Papers in press and preprints are listed below.

Published Work

  1. Limit theorems for transient diffusions on the line. Co-author: L.C.G. Rogers. Probability Theory and Related Fields, 89, pp61-74, 1991.
  2. Recurrence and transience of reflecting Brownian motion in the plane. Co-author: L.C.G. Rogers. Mathematical Proceedings of the Cambridge Philosophical Society, 113, pp387-400, 1993.
  3. Asymptotics for an Arcsin type result. Annales de l`Institute Henri Poincare, Probabilites et Statistiques, 30, pp235-243, 1994.
  4. Escape rates for transient reflected Brownian motions in wedges and cones. Co-authors: R.D. DeBlassie, E.A. Housworth and E.H. Toby. Stochastics and Stochastic Reports, 57, pp199-211, 1996.
  5. Non-colliding Brownian motions on the circle. Co-author: W. Werner. Bulletin of the London Mathematical Society, 135, pp643-650, 1996.
  6. Complete models with stochastic volatility. Co-author: L.C.G. Rogers, Mathematical Finance. 8, pp27--48, 1998.
  7. Stochastic Volatility, In Statistics in Finance, editors D. Hand and S. Jacka, Applications of Statistics Series, Arnold, London. 1998.
  8. Volatility mis-specification, option pricing and super-replication via coupling. Annals of Applied Probability, 8, pp193-205, 1998.
  9. Robust hedging of the lookback option, Finance and Stochastics, 2, pp329-347, 1998.
  10. The maximum maximum of a martingale, Seminaire de Probabilites. XXXII, pp250-263, 1998.
  11. Taylor expansions of curve-crossing probabilities, Co-authors: D. Williams and A.T.A Wood, Bernouilli 5, pp779-795, 1999.
  12. Local time, coupling and the passport option, Co-author: V. Henderson. Finance and Stochastics, 4, pp69-80, 2000.
  13. Marked excursions and random trees. Seminaire de Probabilites. XXXIV, pp289-301, 2000.
  14. CEO age and top executive pay: a UK empirical study, Co-authors: P.J. McKnight, C. Tomkins and C. Weir. Journal of Management and Governance. 4, pp173-187, 2000.
  15. Robust hedging of barrier options, Co-authors: H.M. Brown and L.C.G. Rogers. Mathematical Finance. 11, pp285-314, 2001.
  16. The maximum maximum of a martingale constrained by an intermediate law, Co-authors: H.M. Brown and L.C.G. Rogers. Probability Theory and Related Fields. 119, pp558-578, 2001.
  17. Some consequences of the cyclic exchangeabiltity property for exponential functionals of Levy processes, Co-authors, L. Chaumont and M. Yor. Seminaire de Probabilites. XXXV, pp334-347, 2001. Electronic version for those with appropriate permissions.
  18. Passport options with stochastic volatility, Co-author: V. Henderson. Applied Mathematical Finance 8, pp97-118, 2001.
  19. Substitute hedging, Co-author: V. Henderson. Risk Magazine 15/5, pp71-75, 2002. Reprinted in Exotic Options: The Cutting-edge Collection, Editor: A. Lipton, Risk Books 2003.
  20. A new class of commodity hedging strategies: a passport options approach, Co-authors: V. Henderson and G. Kentwell. International Journal of Theoretical and Applied Finance 5, pp255-278, 2002. FORC preprint 2001/113 .
  21. The minimum maximum of a continuous martingale with given initial and terminal laws, Co-author: J.L. Pedersen. Annals of Probability . 30, pp978-999, 2002.
  22. Real Options with Constant Relative Risk Aversion, Co-author: V. Henderson. Journal of Economic Dynamics and Control. 27, pp329-355, 2002.
  23. Coupling and Option Price Comparisons in a Jump-Diffusion Model, Co-author: V. Henderson. Stochastics and Stochastics Reports. 75, pp79-101, 2003.
  24. An optimal Skorokhod embedding for diffusions, Co-author: A.M.G. Cox. Stochastic Processes and Applications. 111, 17-39, 2004.
  25. Stochastic Volatility Models, Correlation and the q-optimal Measure. Mathematical Finance. 14, 537-556, 2004.
  26. A Survey of Mathematical Finance, (Adams Prize Essay). Proceedings of the Royal Society: Mathematical, Physical and Engineering Sciences. 460:2052, 3369-3401, 2004. Published electronically at FirstCite October 2004.
  27. Bounds for the utility-indifference prices of non-traded assets in incomplete markets Decisions in Economics and Finance. 28, 33-52, 2005. The published version is also available for those with appropriate Springer permissions.
  28. A comparison of $q$-optimal option prices in a stochastic volatility model with correlation. Co-authors: V. Henderson, S. Howison, T.Kluge. Review of Derivatives Research 8, 5-25, June 2005.
  29. Maximising the Probability of a Perfect Hedge using an Imperfectly Correlated Instrument, Co-author: J.W.V. Penn. International Journal of Theoretical and Applied Finance, 8, 763-790, 2005. The published version is also available online.
  30. Local martingales, bubbles and option prices. Co-author: A.M.G. Cox. Finance and Stochastics, 9, 477-492, 2005. The published version is also available for those with appropriate Springer permissions.
  31. Static-arbitrage upper bounds for the prices of basket options. Co-authors: P. Laurence, T-H. Wang. Quantitative Finance 5 (#4) 329-342, August 2005.
  32. Static-arbitrage optimal subreplicating strategies for basket options. Co-authors: P. Laurence, T-H. Wang. Insurance: Mathematics and Economics, 37 (#3) 553-572, 2005.
  33. Skorokhod embeddings, minimality and non-centered target distributions. Co-author: A.M.G. Cox. Probability Theory and Related Fields, 135, 395-414, July 2006. The published version is also available for those with appropriate Springer permissions.
  34. A note on irreversible investment, hedging and optimal consumption problems. Co-authors: V. Henderson. International Journal of Theoretical and Applied Finance, 9 (#6), 997-1007, 2006. An online version is available.
  35. The range of traded options prices. Co-author: M.H.A. Davis. Mathematical Finance 17 (#1) 1-14, 2007.
  36. A short proof of an identity for a Brownian Bridge due to Donati-Martin, Matsumoto and Yor. Statistics and Probability Letters 77 (#2) 148-150 2007. Published online. DOI information: 10.1016/j.spl.2006.06.003
  37. Bounds for in-progress floating-strike Asian options using symmetry, Co-authors: V. Henderson, W. Shaw and R. Wojakowski. Annals of Operations Research. 151 (#1) 81-98, 2007. Published online. DOI 10.1007/s10479-006-0122-8 pdf version.
  38. Is there an informationally passive benchmark for option pricing incorporating maturity? Co-authors: V. Henderson, T. Kluge. Quantitative Finance 7 (#1) 75-86 2007.
  39. Optimal stopping of the maximum process: a converse to the results of Peskir Stochastics 79, 85-102, 2007. (c) Taylor & Francis, 2007. This is the author's version of the work. It is posted here by permission of Taylor & Francis for personal use, not for redistribution. doi:10.1080/17442500601111429. Published online.
  40. A unifying class of Skorokhod embeddings: connecting the Az\'{e}ma-Yor and Vallois embeddings. Co-author: A.M.G. Cox. Bernoulli 13 (#1) 114-130, 2007.
  41. Horizon Unbiased Utility Functions. Co-author: V. Henderson. Stochastic Processes and Applications 117, (#11) 1621-1641, 2007. A publisher's online is available for those with appropriate permissions.
  42. Perpetual American Options in Incomplete Markets: The Infinitely Divisible Case. Co-author: V. Henderson. Quantitative Finance 8 (#5), 461-469, 2008.
  43. Optimal Timing for an Asset Sale in an Incomplete Market. Co-authors: J.D. Evans, V. Henderson. Mathematical Finance 18 (#4), 545-568, 2008.
  44. An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Co-author: V. Henderson. Annals of Applied Probability 18 #5, 1681-1705, 2008. DOI: 10.1214/07-AAP511.
  45. Pathwise inequalities of the local time: applications to Skorokhod embeddings and optimal stopping. Co-authors: A. Cox and J.Obloj. Annals of Applied Probability 18 #5, 1870-1896, 2008. DOI: 10.1214/07-AAP507.
  46. Utility Indifference Pricing: An Overview. Co-author: V. Henderson. Indifference Pricing: Theory and Applications Editor: R. Carmona, Princeton University Press. February 2009.
  47. Comparison results for stochastic volatility models via coupling. Finance and Stochastics 14 #1, 129-152, 2010. DOI: 10.1007/s00780-008-0083-7
  48. The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices.Paris-Princeton Lectures on Mathematical Finance, 2010. Springer, LNM 2003.
  49. Recovering a time-homogeneous stock price process from perpetual option prices. Co-author: E.Ekstrom. arXiv:0903.4833 Annals of Applied Probability 21 #3, 1102-1135, 2011.
  50. Time homogeneous diffusions with a given marginal at a random time. Co-authors: A.Cox, J.Obloj. arXiv:0912.1719 ESAIM: Probability and Statistics. Special issue in honour of Marc Yor. 15, S11-S24, 2011. DOI: 10.1051/ps/2010021
  51. Optimal liquidation of derivative portfolios. Co-author: V. Henderson. Mathematical Finance 21(3) 365-382, 2011. DOI: 10.1111/j.1467-9965.2010.00455.x
  52. Constructing time-homogeneous generalised diffusions consistent with optimal stopping values.Co-author: M.Klimmek arXiv:1005.0160 Stochastics 83, (4-6), 477-503, 2011. DOI:10.1080/17442508.2010.522237
  53. Robust bounds for forward start options. Co-author: A. Neuberger. Mathematical Finance 22, 31-56, 2012. DOI: 10.1111/j.1467-9965.2010.00473.x
  54. Model independent hedging strategies for variance swaps. Co-author: M. Klimmek. Finance and Stochastics 16, 611-649, 2012 (DOI) 10.1007/s00780-012-0190-3 Online published version
  55. Can time-homogeneous diffusions produce any distribution? Co-authors: E. Ekstrom, S. Janson and J. Tysk. arXiv:1103.4371 Probability Theory and Related Fields. 155, 493-520, 2013. DOI:10.1007/s00440-011-0405-0 Springer Online version.
  56. Risk aversion, indivisible timing options, and gambling. Co-author: V. Henderson. Operations Research 61, Issue 1, 126-137, Jan-Feb 2013.
  57. Maximising functionals of the joint law of the maximum and terminal value in the Skorokhod embedding problem. Co-author: M. Klimmek. arXiv:1012.3909 Annals of Applied Probability Vol. 23, No. 5, p2020-2052 2013. Access via Project Euclid
  58. Fake exponential Brownian motion. arXiv:1210.1391 Statistics and Probability Letters Vol. 83, Issue 10, p2386-2390, 2013. DOI: 10.1016/j.spl.2013.06.030
  59. Utility theory front to back - inferring utility from agents' choices. Co-authors: A.M.G. Cox and J. Obloj. arXiv:1101.3572 International Journal of Theoretical and Applied Finance 17 #3 May 2014. DOI 10.1142/S0219024914500186
  60. Gambling in Contests modelled with diffusions. Co-author: Han Feng. Decisions in Economics and Finance, 38, #1, p21-37. 2015. Online First
  61. Robust price bounds for the forward starting straddle. Co-author: M. Klimmek. Finance and Stochastics Vol 19, Issue 1, 189-214, 2015. arXiv:1304.2141. The final publication is available from Online First DOI: 10.1007/s00780-014-0249-4
  62. Integrability of solutions of the Skorokhod Embedding Problem for diffusions. Electronic J. Probability 20, #83 1-26, 2015. DOI:10.1214/EJP.v20-4121
  63. Finite, integrable and bounded time embeddings for diffusions. Co-authors S. Ankirchner and P.Strack. Bernoulli. 21(2), May 2015. 1067-1088 arXiv:1306.3942
  64. Gambling in contests with random initial law. Co-author Han Feng. arXiv:1405.7801 Annals of Applied Probability 26(1) 186-215 (2016)
  65. Mimicking martingales. arXiv:1505.03709 Annals of Applied Probability 26(4) 2273-2303 (2016) Punlished Version.
  66. Optimal consumption and sale strategies for a risk averse agent. Co-author Yeqi Zhu. arXiv:1409.3394 DOI:10.1137/140982738. SIAM J Financial Mathematics Vol 7, Issue 1 674-719 (2016) Published Version.
  67. Gambling in contests with regret. Co-author Han Feng. arXiv:1301.0719 Mathematical Finance 26(3) 674-695, 2016
  68. Model uncertainty and the pricing of American options. Co-author Anthony Neuberger. arXiv:1604.02269 Finance and Stochastics, 21, p285-329, 2017. DOI:10.1007/s00780-016-0314-2 Available from Online First.See also: More on the heging of American options under model uncertainty. Co-author Anthony Neuberger.arXiv:1604.02274
  69. Randomized Strategies and Prospect Theory in a Dynamic Context. Co-authors V.Henderson, A.Tse Journal of Economic Theory 168, 287-300. 2017. Journal vesrion. SSRN Working paper
  70. Optimal stopping and the sufficiency of randomized threshold strategies. Co-authors V.Henderson, M.Zeng.arXiv:1708.01038 Electronic Communications in Probability, 23(1) p1-11, 2018. DOI:10.1214/18-ECP125
  71. Probability Weighting, Stop-Loss and the Disposition Effect. Co-authors V.Henderson, A.Tse (First version August 2016.) SSRN Working paper (March 2017). Journal of Economic Theory, 178, p360-397, November 2018. DOI:10.1016/j.jet.2018.10.002
  72. Optimal consumption and investment under transaction costs. Co-auhors Alex S.L. Tse, Yeqi Zhu arXiv:1612.00720 Mathematical Finance, 29(2), 483-506, April 2019. DOI 10.1111/mafi.12187
  73. The left-curtain martingale coupling in the presence of atoms. Co-author D.Norgilas. arXiv:1802.08337 Annals of Applied Probability 29(3) 1904-1928, 2019. Euclid DOI:10.1214/18-AAP1450 Published version.
  74. Robust bounds for the American put. Co-autarXiv:1711.06466 Finance and Stochastics Journal version 23, 359-395, 2019. DOI: 10.1007/s00780-019-00385-4 Journal link
  75. A multi-asset investment and consumption problem with transaction costs Co-authors: Alex S.L. Tse, Yeqi Zhu arXiv:1612:01327 Finance and Stochastics 23, 4641-676, 2019. DOI:10.1007/s00780-019-00391-6 Journal link (This is a modified and extended version of Multi-asset consumption investment problems with infinite transaction costs. Co-author Yeqi Zhu. arXiv:1409.8307)
  76. Randomised rules for stopping problems. Co-author: M.Zeng Preprint Journal of Applied Probability, 53, #3, 981-1004, 2020. DOI:10.1017/jpr.2020.43
  77. The shape of the value function under Poisson optimal stopping.arXiv:2003.03834 Stochastic Processes and Applications 133 229-246 March 2021 DOI:10.1016/
  78. An elementary approach to the Merton problem. Co-authors M.Herdegen, J.Jerome. SSRN Working Paper (July 2020) Mathematical Finance 31, #4, 1218-1239, 2021
  79. The potential of the shadow measure. Co-authors M. Beiglboeck, D. Norgilas. ArXiV:2008.09936 Electronic Communications in Probability, Vol 27, Paper 16, 1-12, 2022. Final version
  80. Cautious stochastic choice, optimal stopping and deliberate randomization. Co-authors V.Henderson, M.Zeng. Economic Theory.(2022) DOI:10.1007/s00199-022-01428-2SSRN Working Paper (January 2018). Published version.
  81. Constrained optimal stopping, liquidity and effort. Co-author: M.Zeng arXiv:1901.07270 Stochastic Processes and Applications Vol 150 p819-843, 2022. DOI:10.1016/
  82. A construction of the left-curtain coupling. Co-author D. Norgilas. ArXiV:2102.10549 Electronic Journal of Probability 27, 1-46, 2022. DOI: 10.1214/22-EJP868
  83. The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I Foundations. Co-authors: M. Herdegen, J. Jerome. ArXiV:2107.06593 Finance and Stochastics, 27, 127-158, 2023. DOI: 10.1007/s00780-022-00495-6
  84. The infinite horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II Existence, uniqueness and verification for $\theta \in (0,1)$. Co-authors: M. Herdegen, J. Jerome. ArXiV:2107.06593 Finance and Stochastics, 27, 159-188, 2023. DOI: 10.1007/s00780-022-00496-5

Submitted papers and preprints

  • Callable convertible bonds under liquidity constraints. Co-authors: Gechun Liang, Haodong Sun. ArXiV:2111.02554
  • Proper solutions for Epstein-Zin stochastic differential utility. Co-authors: M. Herdegen, J. Jerome. ArXiV:2112.06708
  • When is recursive utility well founded? Co-authors: M. Herdegen, J. Jerome. SSRN Version
  • An injective martingale coupling. Co-author: D. Norgilas. ArXiV:2303.01578
  • Portfolio optimization under transaction costs with Recursive Preferences. Co-authors: M.Herdegen and A. Tse.SSRN Version. ArXiV:2402.08387

David Hobson's home page.

Page created: 31st January 2007.

sfaw logo