Related papers: The Pricing Mechanism of Contingent Claims and its…
A recent line of research has established a novel desideratum for designing approximately-revenue-optimal multi-item mechanisms, namely the buy-many constraint. Under this constraint, prices for different allocations made by the mechanism…
We consider an infinite horizon dynamic mechanism design problem with interdependent valuations. In this setting the type of each agent is assumed to be evolving according to a first order Markov process and is independent of the types of…
This paper focuses on the operation of an electricity market that accounts for participants that bid at a sub-minute timescale. To that end, we model the market-clearing process as a dynamical system, called market dynamics, which is…
Point processes offer a versatile framework for sequential event modeling. However, the computational challenges and constrained representational power of the existing point process models have impeded their potential for wider…
In this paper, we propose the discrete time Compound Beta-Binomial Risk Model with by-claims, delayed by-claims and randomized dividends. We then analyze the Gerber-Shiu function for the cases where the dividend threshold $d=0$ and $d>0$…
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for…
We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent during crises, as…
Insurers are increasingly adopting more demand-based strategies to incorporate the indirect effect of premium changes on their policyholders' willingness to stay. However, since in practice both insurers' renewal premia and customers'…
We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of…
The large-deviation method allows to characterize an ergodic counting process in terms of a thermodynamic frame where a free energy function determines the asymptotic non-stationary statistical properties of its fluctuations. Here, we study…
The recent interest in human dynamics has led researchers to investigate the stochastic processes that explain human behaviour in various contexts. Here we propose a generative model to capture the dynamics of survival analysis,…
We study super--replication of contingent claims in markets with fixed transaction costs. This can be viewed as a stochastic impulse control problem with a terminal state constraint. The first result in this paper reveals that in reasonable…
We consider a novel formulation of the dynamic pricing and demand learning problem, where the evolution of demand in response to posted prices is governed by a stochastic variant of the popular Bass model with parameters $\alpha, \beta$…
We develop a continuous-time principal-agent model of gig work, where contractual flexibility allows the employer to adjust fixed pay and output-based incentives dynamically. The worker's participation depends on a backward-looking…
We study robust versions of pricing problems where customers choose products according to a generalized extreme value (GEV) choice model, and the choice parameters are not known exactly but lie in an uncertainty set. We show that, when the…
Price discrimination for maximizing expected profit is a well-studied concept in economics and there are various methods that achieve the maximum given the user type distribution and the budget constraints. In many applications,…
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…
We consider a large population of learning agents noncooperatively selecting strategies from a common set, influencing the dynamics of an exogenous system (ES) we seek to stabilize at a desired equilibrium. Our approach is to design a…
We study the optimal dynamic pricing of an expiring ticket or voucher, sold by a time-sensitive seller to strategic buyers who arrive stochastically with private values. The expiring nature creates a conflict: the seller's urgency to sell…
The dynamic mode decomposition (DMD) technique extracts the dominant modes characterizing the innate dynamical behavior of the system within the measurement data. For appropriate identification of dominant modes from the measurement data,…