Related papers: The Transfer Pricing Problem with Non-Linearities
Reallocation scheduling is one of the most fundamental problems in various areas such as supply chain management, logistics, and transportation science. In this paper, we introduce the reallocation problem that models the scheduling in…
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate…
We study the following fundamental data-driven pricing problem. How can/should a decision-maker price its product based on data at a single historical price? How valuable is such data? We consider a decision-maker who optimizes over…
We consider a periodical equilibrium pricing problem for multiple firms over a planning horizon of T periods. At each period, firms set their selling prices and receive stochastic demand from consumers. Firms do not know their underlying…
Volatility is a natural risk measure in finance as it quantifies the variation of stock prices. A frequently considered problem in mathematical finance is to forecast different estimates of volatility. What makes it promising to use deep…
The radio spectrum suitable for commercial wireless services is limited. A portion of the radio spectrum has been reserved for institutions using it for non-commercial purposes such as federal agencies, defense, public safety bodies and…
This paper describes an approach to economics that is inspired by quantum computing, and is motivated by the need to develop a consistent quantum mathematical framework for economics. The traditional neoclassical approach assumes that…
To assign a value to a portfolio, it is common to use Mark-to-Market prices. However, how should one proceed when the securities are illiquid? When transaction prices are scarce, how can one use all the available real-time information? In…
We developed an artificial intelligence approach to predict the transfer fee of a football player. This model can help clubs make better decisions about which players to buy and sell, which can lead to improved performance and increased…
We develop a nonparametric approach to identify and estimate consumer preferences and unobserved heterogeneity under nonlinear price schedules. Leveraging variation across multiple price schedules, we show that both the utility function and…
Future quantum internet aims to enable quantum communication between arbitrary pairs of distant nodes through the sharing of end-to-end entanglement, a universal resource for many quantum applications. As in classical networks, quantum…
In this paper we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two periods model. In particular, we consider the optimal transport plan constructed in…
The Affordable Care Act (ACA) includes a permanent revenue transfer methodology which provides financial incentives to health insurance plans that have higher than average actuarial risk. In this paper, we derive some statistical…
This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure…
This paper presents a framework of imitating the principal investor's behavior for optimal pricing and hedging options. We construct a non-deterministic Markov decision process for modeling stock price change driven by the principal…
This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
GenAI services are in an early yet fast expanding phase. Providers compete on model capability and service quality, while the underlying infrastructure remains expensive and heterogeneous across regions, workloads, and compute assets. If…
A prominent model for transportation networks is branched transport, which seeks the optimal transportation scheme to move material from a given initial to a final distribution. The cost of the scheme encodes a higher transport efficiency…
Systematic financial trading strategies account for over 80% of trade volume in equities and a large chunk of the foreign exchange market. In spite of the availability of data from multiple markets, current approaches in trading rely mainly…