Related papers: A lattice framework for pricing display advertisem…
It is known that the implied volatility skew of FX options demonstrates a stochastic behavior which is called stochastic skew. In this paper we create stochastic skew by assuming the spot/instantaneous variance correlation to be stochastic.…
Sponsored search becomes an easy platform to match potential consumers' intent with merchants' advertising. Advertisers express their willingness to pay for each keyword in terms of bids to the search engine. When a user's query matches the…
We investigate the (functional) convex order of for various continuous martingale processes, either with respect to their diffusions coefficients for L\'evy-driven SDEs or their integrands for stochastic integrals. Main results are bordered…
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…
Managing and unlocking the flexibility hidden in electric vehicles (EVs) has emerged as a critical yet challenging task towards low-carbon power and energy systems. This paper focuses on the online bidding and dispatch strategies for an EV…
Auto-bidding systems are widely used in advertising to automatically determine bid values under constraints such as total budget and Return-on-Spend (RoS) targets. Existing works often assume that the value of an ad impression, such as the…
We introduce a chance constrained optimization model for the fulfillment of guaranteed display Internet advertising campaigns. The proposed formulation for the allocation of display inventory takes into account the uncertainty of the supply…
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the underlying forward price curves are modeled within the…
This paper studies the pricing problem in which the underlying asset follows a non-Markovian stochastic volatility model. Classical partial differential equation methods face significant challenges in this context, as the option prices…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
Many online companies sell advertisement space in second-price auctions with reserve. In this paper, we develop a probabilistic method to learn a profitable strategy to set the reserve price. We use historical auction data with features to…
The collateral choice option allows a collateral-posting party the opportunity to change the type of security in which the collateral is deposited. Due to non-zero collateral basis spreads, this optionality significantly impacts asset…
Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.
We consider the robust pricing and hedging of American options in a continuous time setting. We assume asset prices are continuous semimartingales, but we allow for general model uncertainty specification via adapted closed convex…
With the emergence of new online channels and information technology, digital advertising tends to substitute more and more to traditional advertising by offering the opportunity to companies to target the consumers/users that are really…
Being able to predict what may happen in the future requires an in-depth understanding of the physical and causal rules that govern the world. A model that is able to do so has a number of appealing applications, from robotic planning to…
The $b$-matching problem is an allocation problem where the vertices on the left-hand side of a bipartite graph, referred to as servers, may be matched multiple times. In the setting with stochastic rewards, an assignment between an…
We present a number of models for the adword auctions used for pricing advertising slots on search engines such as Google, Yahoo! etc. We begin with a general problem formulation which allows the privately known valuation per click to be a…
We present an option pricing formula for European options in a stochastic volatility model. In particular, the volatility process is defined using a fractional integral of a diffusion process and both the stock price and the volatility…
The problem of determining the European-style option price in the incomplete market has been examined within the framework of stochastic optimization. An analytic method based on the discrete dynamic programming equation (Bellman equation)…