Professor Jan Obloj

Professor Obloj joined St John’s in 2012 and is a Professor of Mathematics at the Mathematical Institute which he joined in 2008. Before coming to Oxford, he was a post-doctoral fellow at Imperial College London, and he did his PhD jointly at University Paris 6 and University of Warsaw. He is a Fellow of the Institute of Mathematical Statistics and recipient of the 2022 Hugo Steinhaus Award of the Polish Mathematical Society.

I have a general interest in mathematics of randomness. Most of my research sits at the crossroads of various fields, including: probability theory, statistics, mathematical finance, operations research, optimal transport and data science. A lot of my research is related to problems in mathematical finance and my main focus is on robustness of the modelling pathways from input out outputs, ways to understand and quantify it. My research spans the spectrum from theoretical foundations of robust pricing and hedging paradigm in mathematical finance, to practical questions of building fast generic ways to approximate adversarial robustness of deep neural networks. A significant part of my recent research involves techniques from optimal transport (OT), in particular in relation to the martingale OT problem and adapted OT, as I find these problems endlessly fascinating and beautiful.