Related papers: The Transfer Pricing Problem with Non-Linearities
The basis of arbitrage methods depends on the circulation of information within the framework of the financial market. Following the work of Modigliani and Miller, it has become a vital part of discussions related to the study of financial…
In this work, we explore the possibility of utilizing transfer learning techniques to address the financial portfolio optimization problem. We introduce a novel concept called "transfer risk", within the optimization framework of transfer…
The participation of renewable, energy storage, and resources with limited fuel inventory in electricity markets has created the need for optimal scheduling and pricing across multiple market intervals for resources with intertemporal…
We propose a generalized market equilibrium model using assignment game criteria for evaluating transportation systems that consist of both operators' and users' decisions. The model finds stable pricing, in terms of generalized costs, and…
We study the revenue performance of sequential posted price mechanisms and some natural extensions, for a general setting where the valuations of the buyers are drawn from a correlated distribution. Sequential posted price mechanisms are…
Transactional stream processing (TSP) strives to create a cohesive model that merges the advantages of both transactional and stream-oriented guarantees. Over the past decade, numerous endeavors have contributed to the evolution of TSP…
The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential L\'evy type. We consider non-tradeability as a particular type of market illiquidity and investigate its impact on the price of…
We consider a fixed-price mechanism design setting where a seller sells one item via a social network, but the seller can only directly communicate with her neighbours initially. Each other node in the network is a potential buyer with a…
The paper presents a nonlinear state-feedback control design approach for long-time average cost control, where the control effort is assumed to be expensive. The approach is based on sum-of-squares and semi-definite programming techniques.…
Transfer learning is a burgeoning concept in statistical machine learning that seeks to improve inference and/or predictive accuracy on a domain of interest by leveraging data from related domains. While the term "transfer learning" has…
We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices. The paper states the problem of finding a pricing rule that…
It is a common misconception that in order to make consistent profits as a trader, one needs to posses some extra information leading to an asset value estimation more accurate than that reflected by the current market price. While the idea…
In this paper, we consider the problem of distributed optimisation of a separable convex cost function over a graph, where every edge and node in the graph could carry both linear equality and/or inequality constraints. We show how to…
We suggest an original physical approach to describe the mechanism of market pricing. The core of our approach is to consider pricing at different time scales separately, using independent equations of motion. Such an approach leads to a…
We consider priced timed Petri nets, i.e., unbounded Petri nets where each token carries a real-valued clock. Transition arcs are labeled with time intervals, which specify constraints on the ages of tokens. Furthermore, our cost model…
Overwhelming majority of econometric models applied on a long term basis in the financial forex market do not work sufficiently well. The reason is that transaction costs and arbitrage opportunity are not included, as this does not simulate…
The transferable neural network (TransNet) is a two-layer shallow neural network with pre-determined and uniformly distributed neurons in the hidden layer, and the least-squares solvers can be particularly used to compute the parameters of…
This paper studies a large number of homogeneous Markov decision processes where the transition probabilities and costs are coupled in the empirical distribution of states (also called mean-field). The state of each process is not known to…
Consider a trade market with one seller and multiple buyers. The seller aims to sell an indivisible item and maximize their revenue. This paper focuses on a simple and popular mechanism--the fixed-price mechanism. Unlike the standard…
The main purpose of this article is to give a general overview and understanding of the first widely used option-pricing model, the Black-Scholes model. The history and context are presented, with the usefulness and implications in the…