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We study the problem of online dynamic pricing with two types of fairness constraints: a "procedural fairness" which requires the proposed prices to be equal in expectation among different groups, and a "substantive fairness" which requires…
We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process,…
We prove that the variance swap rate (fair strike) equals the price of a co-terminal European-style contract when the underlying is an exponential Markov process, time-changed by an arbitrary continuous stochastic clock, which has arbitrary…
We consider a variant of the standard Bayesian mechanism, where players evaluate their outcomes and constraints in an ex-ante manner. Such a model captures a major form of modern online advertising where an advertiser is concerned with…
We propose a model for the joint evolution of European inflation, 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 a contingent…
In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…
We consider an American contingent claim on a financial market where the buyer has additional information. Both agents (seller and buyer) observe the same prices, while the information available to them may differ due to some extra…
We present novel online mechanisms for traffic intersection auctions in which users bid for priority service. We assume that users at the front of their lane are requested to declare their delay cost, i.e. value of time, and that users are…
Dynamic pricing is a promising strategy to address the challenges of smart charging, as traditional time-of-use (ToU) rates and stationary pricing (SP) do not dynamically react to changes in operating conditions, reducing revenue for…
The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…
We investigate the problem of market mechanism design for wind energy. We consider a dynamic two-step model with one strategic seller with wind generation and one buyer, who trade energy through a mechanism determined by a designer. The…
Leveraging machine learning methods to solve constraint satisfaction problems has shown promising, but they are mostly limited to a static situation where the problem description is completely known and fixed from the beginning. In this…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
We propose an online pricing mechanism for electric vehicle (EV) charging. A charging station decides prices for each arriving EV depending on the energy and the time within which the EV will be served (i.e. deadline). The user selects…
Cumulative Prospect Theory (CPT) is a modeling tool widely used in behavioral economics and cognitive psychology that captures subjective decision making of individuals under risk or uncertainty. In this paper, we propose a dynamic pricing…
We study the application of dynamic pricing to insurance. We view this as an online revenue management problem where the insurance company looks to set prices to optimize the long-run revenue from selling a new insurance product. We develop…
We study competitive dynamic pricing among multiple sellers, motivated by the rise of large-scale experimentation and algorithmic pricing in retail and online marketplaces. Sellers repeatedly set prices using simple learning rules and…
In this work we study the price-hedge issue for general defaultable contracts characterized by the presence of a contingent CSA of switching type. This is a contingent risk mitigation mechanism that allow the counterparties of a defaultable…
Selling reserved instances (or virtual machines) is a basic service in cloud computing. In this paper, we consider a more flexible pricing model for instance reservation, in which a customer can propose the time length and number of…
Expectations of marginals conditional on the total risk of a portfolio are crucial in risk-sharing and allocation. However, computing these conditional expectations may be challenging, especially in critical cases where the marginal risks…