Related papers: Application of simplest random walk algorithms for…
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…
In this paper we derive tractable formulae for price sensitivities of two-dimensional spread options using Malliavin calculus. In particular, we consider spread options with asset dynamics driven by geometric Brownian motion and stochastic…
The display advertising industry has recently transitioned from second- to first-price auctions as its primary mechanism for ad allocation and pricing. In light of this, publishers need to re-evaluate and optimize their auction parameters,…
We introduce weighted Markovian graphs, a random walk model that decouples the transition dynamics of a Markov chain from (random) edge weights representing the cost of traversing each edge. This decoupling allows us to study the…
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…
We study revenue maximization through sequential posted-price (SPP) mechanisms in single-dimensional settings with $n$ buyers and independent but not necessarily identical value distributions. We construct the SPP mechanisms by considering…
We study the strong approximation of a rough volatility model, in which the log-volatility is given by a fractional Ornstein-Uhlenbeck process with Hurst parameter $H<1/2$. Our methods are based on an equidistant discretization of the…
The rapid development and deployment of vehicle technologies offer opportunities to re-think the way traffic is managed. This paper capitalizes on vehicle connectivity and proposes an economic instrument and corresponding cooperative…
We have formulated higher-order integration by parts formulae on the path space restricted between two curves, with respect to pinned/ordinary Wiener measures. The higher-order integration by parts formulae introduce nontrivial boundary…
We study a certain polytope arising from embedding the Hamiltonian cycle problem in a discounted Markov decision process. The Hamiltonian cycle problem can be reduced to finding particular extreme points of a certain polytope associated…
Classical Bayesian mechanism design relies on the common prior assumption, but such prior is often not available in practice. We study the design of prior-independent mechanisms that relax this assumption: the seller is selling an…
We study discrete-time random walks on arbitrary networks with first-passage resetting processes. To the end, a set of nodes are chosen as observable nodes, and the walker is reset instantaneously to a given resetting node whenever it hits…
New simulation approaches to evaluating path-dependent options without matrix inversion issues nor Euler bias are evaluated. They employ three main contributions: Stochastic approximation replaces regression in the LSM algorithm; Explicit…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…
We study the two-agent single-item bilateral trade. Ideally, the trade should happen whenever the buyer's value for the item exceeds the seller's cost. However, the classical result of Myerson and Satterthwaite showed that no mechanism can…
In this paper we present a new methodology for option pricing. The main idea consists to represent a generic probability distribution function (PDF) via a perturbative expansion around a given, simpler, PDF (typically a gaussian function)…
Budget management strategies in repeated auctions have received growing attention in online advertising markets. However, previous work on budget management in online bidding mainly focused on second-price auctions. The rapid shift from…
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
Accurately analyzing graph properties of social networks is a challenging task because of access limitations to the graph data. To address this challenge, several algorithms to obtain unbiased estimates of properties from few samples via a…
Many high-stakes AI deployments proceed only if every stakeholder deems the system acceptable relative to their own minimum standard. With randomization over a finite menu of options, this becomes a feasibility question: does there exist a…