Related papers: On Agents' Agreement and Partial-Equilibrium Prici…
CDS (credit default swap) contracts that were initiated some time ago frequently have spreads and/or maturities that are not available on the current market of CDSs, and are thus illiquid. This article introduces an incomplete-market…
This paper studies markets where a set of indivisible items is sold to bidders with quasilinear, unit-demand valuations, subject to a hard budget constraint. Without financial constraints the well-known assignment market model of Shapley…
Competitive equilibrium from equal incomes (CEEI) is a classic solution to the problem of fair and efficient allocation of goods [Foley'67, Varian'74]. Every agent receives an equal budget of artificial currency with which to purchase…
This paper addresses the question of how much to bid to maximize the profit when trading in two electricity markets: the hourly Day-Ahead Auction and the quarter-hourly Intraday Auction. For optimal coordinated bidding many price scenarios…
We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance…
We consider a general small-scale market for agent-to-agent resource sharing, in which each agent could either be a server (seller) or a client (buyer) in each time period. In every time period, a server has a certain amount of resources…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…
The aim of this work is to evaluate the cheapest superreplication price of a general (possibly path-dependent) European contingent claim in a context where the model is uncertain. This setting is a generalization of the uncertain volatility…
We consider a package assignment problem with multiple units of indivisible items. The seller can specify preferences over partitions of their supply between buyers as packaging costs. We propose incremental costs together with a graph that…
This paper studies a communication game between an uninformed decision maker and two perfectly informed senders with conflicting interests. Senders can misreport information at a cost that increases with the size of the misrepresentation.…
We suggest a new approach to creation of general market equilibrium models involving economic agents with local and partial knowledge about the system and under different restrictions. The market equilibrium problem is then formulated as a…
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we…
The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark-neutral pricing measure for pricing. For a realistic…
Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…
This paper proposes a simple descriptive model of discrete-time double auction markets for divisible assets. As in the classical models of exchange economies, we consider a finite set of agents described by their initial endowments and…
This paper studies the pricing of contingent claims of American style, using indifference pricing by fully dynamic convex risk measures. We provide a general definition of risk-indifference prices for buyers and sellers in continuous time,…
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, the indifference price is formulated as a…
We discuss bundle auctions within the framework of an integer allocation problem. We show that for multi-unit auctions, of which bundle auctions are a special case, market equilibrium and constrained market equilibrium are equivalent…
This paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using the mean field game theory. In this model, we assume that investors can only observe stock prices and must infer…