Related papers: The Transfer Pricing Problem with Non-Linearities

The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…

In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…

We propose a unified multi-tasking framework to represent the complex and uncertain causal process of financial market dynamics, and then to predict the movement of any type of index with an application on the monthly direction of the…

Buying and selling of data online has increased substantially over the last few years. Several frameworks have already been proposed that study query pricing in theory and practice. The key guiding principle in these works is the notion of…

Transition path theory computes statistics from ensembles of reactive trajectories. A common strategy for sampling reactive trajectories is to control the branching and pruning of trajectories so as to enhance the sampling of low…

Optimizing asset exchanges on blockchain-driven platforms poses a novel and challenging graph query optimization problem. In this model, assets represent vertices and exchanges form edges, recasting the graph query task as a routing problem…

This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneous returns and volatility functions of time-homogeneous and…

When dealing with control systems, it is useful and even necessary to assess the performance of underlying transfer functions. The functions may or may not be linear, may or may not be even monotonic. In addition, they may have structural…

In this contribution, we introduce an efficient method for solving the optimal control problem for an unconstrained nonlinear switched system with an arbitrary cost function. We assume that the sequence of the switching modes are given but…

In the first part of this paper, inspired by the geometric method of Jean-Pierre Marec, we consider the two-impulse Hohmann transfer problem between two coplanar circular orbits as a constrained nonlinear programming problem. By using the…

Transfer learning can significantly improve the sample efficiency of neural networks, by exploiting the relatedness between a data-scarce target task and a data-abundant source task. Despite years of successful applications, transfer…

This paper performs the numerical analysis and the computation of a Spread option in a market with imperfect liquidity. The number of shares traded in the stock market has a direct impact on the stock's price. Thus, we consider a…

We consider the Item Pricing problem for revenue maximization in the limited supply setting, where a single seller with $n$ items caters to $m$ buyers with unknown subadditive valuation functions who arrive in a sequence. The seller sets…

Planning in public transportation is traditionally done in a sequential process: After the network design process, the lines and their frequencies are planned. When these are fixed, a timetable is determined and based on the timetable, the…

We study a sequential profit-maximization problem, optimizing for both price and ancillary variables like marketing expenditures. Specifically, we aim to maximize profit over an arbitrary sequence of multiple demand curves, each dependent…

This paper aims to provide a practical example on the assessment and propagation of input uncertainty for option pricing when using tree-based methods. Input uncertainty is propagated into output uncertainty, reflecting that option prices…

We consider a model-independent pricing problem in a fixed-income market and show that it leads to a weak optimal transport problem as introduced by Gozlan et al. We use this to characterize the extremal models for the pricing of caplets on…

We present a complete characterization of the classical transfer problem for an exchange economy with an arbitrary finite number of traders. Our method is geometric, using an equilibrium manifold developed by Debreu, Mas-Colell, and…

In this work, we consider learning over multitask graphs, where each agent aims to estimate its own parameter vector. Although agents seek distinct objectives, collaboration among them can be beneficial in scenarios where relationships…

In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…