Related papers: A lattice framework for pricing display advertisem…
Internet search companies sell advertisement slots based on users' search queries via an auction. Advertisers have to determine how to place bids on the keywords of their interest in order to maximize their return for a given budget: this…
We discuss a multi-objective/goal programming model for the allocation of inventory of graphical advertisements. The model considers two types of campaigns: guaranteed delivery (GD), which are sold months in advance, and non-guaranteed…
We consider the optimal pricing problem for a model of the rich media advertisement market, as well as other related applications. In this market, there are multiple buyers (advertisers), and items (slots) that are arranged in a line such…
In the present paper we present a finite element approach for option pricing in the framework of a well-known stochastic volatility model with jumps, the Bates model. In this model the asset log-returns are assumed to follow a…
In E-commerce advertising, where product recommendations and product ads are presented to users simultaneously, the traditional setting is to display ads at fixed positions. However, under such a setting, the advertising system loses the…
In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximation based on a Taylor expansion of the conditional price is…
The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options for the variance gamma model by deriving closed-form…
The purpose of Inventory Pricing is to bid the right prices to online ad opportunities, which is crucial for a Demand-Side Platform (DSP) to win advertising auctions in Real-Time Bidding (RTB). In the planning stage, advertisers need the…
Traditional ads recommendation systems have primarily focused on optimizing for prediction accuracy of click or conversion events using canonical metrics such as recall or normalized discounted cumulative gain (NDCG). With the hyper-growth…
We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk…
In programmatic advertising, ad slots are usually sold using second-price (SP) auctions in real-time. The highest bidding advertiser wins but pays only the second-highest bid (known as the winning price). In SP, for a single item, the…
Causally identifying the effect of digital advertising is challenging, because experimentation is expensive, and observational data lacks random variation. This paper identifies a pervasive source of naturally occurring, quasi-experimental…
Inspired by online ad allocation, we study online stochastic packing linear programs from theoretical and practical standpoints. We first present a near-optimal online algorithm for a general class of packing linear programs which model…
Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew. This is often implemented with a local…
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…
The paper builds a Variance-Gamma (VG) model with five parameters: location ($\mu$), symmetry ($\delta$), volatility ($\sigma$), shape ($\alpha$), and scale ($\theta$); and studies its application to the pricing of European options. The…
In display ad auctions of Real-Time Bid-ding (RTB), a typical Demand-Side Platform (DSP)bids based on the predicted probability of click and conversion right after an ad impression. Recent studies find such a strategy is suboptimal and…
Real-time bidding (RTB) has become one of the largest online advertising markets in the world. Today the bid price per ad impression is typically decided by the expected value of how it can lead to a desired action event (e.g., registering…
We introduce a new model of financial market with stochastic volatility driven by an arbitrary H\"older continuous Gaussian Volterra process. The distinguishing feature of the model is the form of the volatility equation which ensures the…
Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…