Related papers: Non-arbitrage for Informational Discrete Time Mark…
We propose an aggregate notion of non-transferable utility (NTU) stability for decentralized matching markets with fixed prices, where market clearing is achieved through one-sided money burning, which can be interpreted as waiting. Agents…
We investigate asymmetry of information in the context of robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock prices and another with some additional information, and…
We characterise the solutions to a continuous-time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads -- these are short-term deviations from the…
We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modeled through solvency cones as in the original model of [Kabanov, Y., Hedging and…
Matching algorithms have demonstrated great success in several practical applications, but they often require centralized coordination and plentiful information. In many modern online marketplaces, agents must independently seek out and…
We discuss bundle auctions within the framework of an integer allocation problem. We show that for multi-unit auctions, of which bundle auctions are a special case, market equilibrium and constrained market equilibrium are equivalent…
We consider a dynamic market model of liquidity where unmatched buy and sell limit orders are stored in order books. The resulting net demand surface constitutes the sole input to the model. We prove that generically there is no arbitrage…
We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust framework where a set of non-dominated models is given. The…
Many countries have adopted negative interest rate policies with tiering remuneration, which allows for exemption from negative rates. This practice has led to higher interbank trading volumes, with market rates ranging between zero and the…
We show that a trader, who starts with no initial wealth and is not allowed to borrow money or short sell assets, is theoretically able to attain positive wealth by continuous trading, provided that she has perfect foresight of future asset…
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements:…
We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family $\mathcal{P}$ of possible physical measures. A robust notion ${\rm NA}_{1}(\mathcal{P})$ of no-arbitrage of the first…
We develop inference under model uncertainty due to weak, noisy, multiple candidate restrictions and theories, and nuisance control covariates. A unified framework is given with degrees of misspecification and corresponding shadow prices,…
This paper characterizes informational outcomes in a model of dynamic signaling with vanishing commitment power. It shows that contrary to popular belief, informative equilibria with payoff-relevant signaling can exist without requiring…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
We study the conditional expert Kaplan-Meier estimator, an extension of the classical Kaplan--Meier estimator designed for time-to-event data subject to both right-censoring and contamination. Such contamination, where observed events may…
We present an arbitrage-free non-parametric yield curve prediction model which takes the full (discretized) yield curve as state variable. We believe that absence of arbitrage is an important model feature in case of highly correlated data,…
Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…
Discrete-time models of non-uniformly sampled nonlinear systems under zero-order hold relate the next state sample to the current state sample, (constant) input value, and sampling interval. The exact discrete-time model, that is, the…
In the paper we provide new conditions ensuring the isolated calmness property and the Aubin property of parameterized variational systems with constraints depending, apart from the parameter, also on the solution itself. Such systems…