Jan Obłój wins Hugon Steinhaus Award 2022

Professor Jan Obłój received the award for his overall contributions to mathematical finance with a particular emphasis on novel methods for studying robustness of models. The award will be made in Łódź during the Spanish–Polish Mathematical Meeting in early September this year.

The award citation read:

'Jan Obłój is a world-class specialist in stochastic analysis and financial mathematics. The main subject of his research is the quantification of model uncertainty. This applies primarily to models used in financial mathematics (option pricing), but also in machine learning (neural networks) and in statistics. His approaches are based on an innovative assessment of the effects of deviation from the model’s assumptions and non-parametric analysis of the studied phenomena.

In his research, Jan Obłój has presented a new optimisation methodology in which the sought solution is resistant to a small (in terms of the Wasserstein distance) perturbation of the data generating mechanism. This approach is directly applicable in the current topic of assessing the sensitivity of neural networks to the so-called adversarial attacks and the resistance of statistical procedures to incorrect model specification.

Jan Obłój was the first to develop a robust non-parametric valuation, giving an upper estimate of the option price, based directly on historical data, while the methods of testing the robustness of models he has introduced are universal and can be used in other fields of science.'