David Hobson

1. The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility
   2021/07/14 by David Hobson, Hobson, David, Martin Herdegen +3 · 5 citations
   Economics, Econometrics and Finance · #49L20 #60H20 #91B16 #91G10 #91G80 #93E20 #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #G.1.9 #G.3 #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications
2. Robust price bounds for the forward starting straddle
   2013/04/08 by David Hobson, Martin Klimmek, Hobson, David +1 · 2 citations
   Economics, Econometrics and Finance · #91G20 #Diverse Scientific and Economic Studies #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications
3. On the value of being American
   2016/04/08 by David Hobson, Hobson, David, Anthony Neuberger +1 · 1 citation
   Economics, Econometrics and Finance · #Stochastic processes and financial applications #Capital Investment and Risk Analysis #Monetary Policy and Economic Impact
4. A multi-player optimal stopping game based on a spider Brownian bridge
   2026/07/24 by David Hobson, Jingfei Liu
   #math.PR