Related papers: Dynamic indifference pricing via the G-expectation
The objective of this research was to evaluate and gain experience with application of two methods used for pricing and sensitivity analysis of exotic financial derivative instruments, namely, automatic adjoint differentiation (AAD) and…
Ancillaries have become a major source of revenue and profitability in the travel industry. Yet, conventional pricing strategies are based on business rules that are poorly optimized and do not respond to changing market conditions. This…
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on…
Session-based recommendation intends to predict next purchased items based on anonymous behavior sequences. Numerous economic studies have revealed that item price is a key factor influencing user purchase decisions. Unfortunately, existing…
Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a…
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into account not only the amounts but also the…
This thesis develops a new divergence that generalizes relative entropy and can be used to compare probability measures without a requirement of absolute continuity. We establish properties of the divergence, and in particular derive and…
Contextual pricing strategies are prevalent in online retailing, where the seller adjusts prices based on products' attributes and buyers' characteristics. Although such strategies can enhance seller's profits, they raise concerns about…
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete…
People often face trade-offs between costs and benefits occurring at various points in time. The predominant discounting approach is to use the exponential form. Central to this approach is the discount rate, a unique parameter that…
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize…
We study the identification and estimation of first-price auction models where bidders have ambiguity about the valuation distribution and their preferences are represented by maxmin expected utility. When entry is exogenous, the…
We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent…
A dynamical price formation model for financial assets is presented. It aims to capture the essence of speculative trading where mispricings of assets are used to make profits. It is shown that together with the incorporation of the concept…
We introduce dynamic probability kinematics (DPK), a method for an agent to mechanically update subjective beliefs in the presence of partial information. We then generalize DPK to dynamic imprecise probability kinematics (DIPK), which…
We represent preferences that exhibit absolute or relative attitudes towards ambiguity without assuming convexity of preferences. Our analysis is motivated by the recent experimental evidence by Baillon and Placido (2019) indicating that…
In this paper, we consider the revealed preferences problem from a learning perspective. Every day, a price vector and a budget is drawn from an unknown distribution, and a rational agent buys his most preferred bundle according to some…
Demand estimation plays an important role in dynamic pricing where the optimal price can be obtained via maximizing the revenue based on the demand curve. In online hotel booking platform, the demand or occupancy of rooms varies across…
I provide a model of rational inattention with heterogeneity and prove it is observationally equivalent to a state-dependent stochastic choice model subject to attention costs. I demonstrate that additive separability of unobservable…
Difference-in-differences is one of the most used identification strategies in empirical work in economics. This chapter reviews a number of important, recent developments related to difference-in-differences. First, this chapter reviews…