Related papers: Theory of Information Pricing
We consider stopping problems in which a decision maker (DM) faces an unknown state of nature and decides sequentially whether to stop and take an irreversible action; pay a fee and obtain additional information; or wait without acquiring…
We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded or non-traded asset, we derive an explicit approximation for…
Many smart grid frameworks, such as demand response programs, require accurate information about consumers' parameters (e.g., flexibility) at the aggregator side to optimize grid operations. Existing works typically rely on perfect…
Recent literature in the last Maximum Entropy workshop introduced an analogy between cumulative probability distributions and normalized utility functions. Based on this analogy, a utility density function can de defined as the derivative…
We study the utility indifference price of a European option in the context of small transaction costs. Considering the general setup allowing consumption and a general utility function at final time T, we obtain an asymptotic expansion of…
Online offerings such as web search, news portals, and e-commerce applications face the challenge of providing high-quality service to a large, heterogeneous user base. Recent efforts have highlighted the potential to improve performance by…
We investigate the tradeoff between privacy and utility in a situation where both privacy and utility are measured in terms of mutual information. For the binary case, we fully characterize this tradeoff in case of perfect privacy and also…
The fundamental equations of various disciplines often seem to share the same basic structure. Natural selection increases information in the same way that Bayesian updating increases information. Thermodynamics and the forms of common…
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations,…
A pricing formula for discount bonds, based on the consideration of the market perception of future liquidity risk, is established. An information-based model for liquidity is then introduced, which is used to obtain an expression for the…
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008…
Argumentation provides a representation of arguments and attacks between these arguments. Argumentation can be used to represent a reasoning process over evidence to reach conclusions. Within such a reasoning process, understanding the…
Information theory is a mathematical theory of learning with deep connections with topics as diverse as artificial intelligence, statistical physics, and biological evolution. Many primers on information theory paint a broad picture with…
A decision maker's utility depends on her action $a\in A \subset \mathbb{R}^d$ and the payoff relevant state of the world $\theta\in \Theta$. One can define the value of acquiring new information as the difference between the maximum…
Incorporating fairness criteria in optimization problems comes at a certain cost, which is measured by the so-called price of fairness. Here we consider the allocation of indivisible goods. For envy-freeness as fairness criterion it is…
In this paper, we analyse how a peer-to-peer sharing platform should price its service (when imagined as an excludable public good) to maximize profit, when each user's participation adds value to the platform service by creating a positive…
We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend…
We apply a utility-based method to obtain the value of a finite-time investment opportunity when the underlying real asset is not perfectly correlated to a traded financial asset. Using a discrete-time algorithm to calculate the…
The notion of information pervades informal descriptions of biological systems, but formal treatments face the problem of defining a quantitative measure of information rooted in a concept of fitness, which is itself an elusive notion.…
To choose between two discrete goods, a consumer pays attention to only those with prices below a threshold. From these, she chooses her most preferred good. We assume consumers in a population have the same preference but may have…