Related papers: Overview of utility-based valuation
We present a method for calculating and analyzing stakeholder utilities of processes that arise in, but are not limited to, the social sciences. These areas include business process analysis, healthcare workflow analysis and policy process…
Data valuation is a class of techniques for quantitatively assessing the value of data for applications like pricing in data marketplaces. Existing data valuation methods define a value for a discrete dataset. However, in many use cases,…
We develop extensions to auction theory results that are useful in real life scenarios. 1. Since valuations are generally positive we first develop approximations using the log-normal distribution. This would be useful for many finance…
A complete classification of unimodular valuations on the set of lattice polygons with values in the spaces of polynomials and formal power series, respectively, is established. The valuations are classified in terms of their behaviour with…
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…
We consider the discretized Bachelier model where hedging is done on an equidistant set of times. Exponential utility indifference prices are studied for path-dependent European options and we compute their non-trivial scaling limit for a…
Complexity and uncertainty associated with commodity resource valuation and extraction requires stochastic control methods suitable for high dimensional states. Recent progress in duality and trajectory-wise techniques has introduced a…
We introduce a robo-advisor system that recommends customized investment portfolios to users using an expected utility model elicited from pairwise comparison questionnaires. The robo-advisor system comprises three fundamental components.…
In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to…
We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a…
Obtaining utility maximizing optimal portfolios in closed form is a challenging issue when the return vector follows a more general distribution than the normal one. In this note, we give closed form expressions, in markets based on…
In a context of illiquidity, the reservation price is a well-accepted alternative to the usual martingale approach which does not apply. However, this price is not available in closed form and requires numerical methods such as Monte Carlo…
We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show…
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by diffusion process with misspecified trend…
We study a robust utility maximization problem in the case of an incomplete market and logarithmic utility with general stochastic constraints, not necessarily convex. Our problem is equivalent to maximizing of nonlinear expected…
In this paper, we explain how some basic facts about valuation can help clarify many questions about divisibility in integral domains.
Participatory budgeting refers to the practice of allocating public resources by collecting and aggregating individual preferences. Most existing studies in this field often assume an additive utility function, where each individual holds a…
Academic research in the field of recommender systems mainly focuses on the problem of maximizing the users' utility by trying to identify the most relevant items for each user. However, such items are not necessarily the ones that maximize…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…