Related papers: Endogenous Current Coupons
Discount is the difference between the face value of a bond and its present value. I propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath--Jarrow--Morton framework for forward rates. I…
We establish sufficient conditions for the existence of moments of the steady-state queue in polling systems operating under the binomial-exhaustive policy (BEP). We assume that the server switches between the different buffers according to…
This paper studies the performative prediction problem which optimizes a stochastic loss function with data distribution that depends on the decision variable. We consider a setting where the agent(s) provides samples adapted to the…
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion…
Electricity market prices exhibit extreme volatility, nonlinearity, and non-stationarity, making accurate forecasting a significant challenge. While cutting-edge time series foundation models (TSFMs) effectively capture temporal…
We study a decision-maker's problem of finding optimal monetary incentive schemes for retention when faced with agents whose participation decisions (stochastically) depend on the incentive they receive. Our focus is on policies constrained…
This paper explores the behavior of present-biased agents, that is, agents who erroneously anticipate the costs of future actions compared to their real costs. Specifically, the paper extends the original framework proposed by Akerlof…
In this paper, we study a distributed parameter estimation problem with an asynchronous communication protocol over multi-agent systems. Different from traditional time-driven communication schemes, in this work, data can be transmitted…
This paper investigates how the discount factor and payoff functions can be identified in stationary infinite-horizon dynamic discrete choice models. In single-agent models, we show that common nonparametric assumptions on per-period…
We develop a theoretical framework that aims to link micro-level option hedging and stock-specific factor exposure with macro-level market turbulence and explain endogenous volatility amplification during gamma-squeeze events. By explicitly…
Pricing formulae for defaultable corporate bonds with discrete coupons under consideration of the government taxes in the united model of structural and reduced form models are provided. The aim of this paper is to generalize the…
We address the problem of causal effect estimation where hidden confounders are present, with a focus on two settings: instrumental variable regression with additional observed confounders, and proxy causal learning. Our approach uses a…
Fixed effect estimators of nonlinear panel data models suffer from the incidental parameter problem. This leads to two undesirable consequences in applied research: (1) point estimates are subject to large biases, and (2) confidence…
We study existence and uniqueness of the fixed points solutions of a large class of non-linear variable discounted transfer operators associated to a sequential decision-making process. We establish regularity properties of these solutions,…
Many economic models feature moment conditions that involve latent variables. When the latent variables are individual fixed effects in an auxiliary panel data regression, we construct orthogonal moments that eliminate first-order bias…
Firms are more likely to introduce products in markets where they anticipate stronger demand. They also possess information that is unobserved to researchers. This creates endogenous selection bias in the estimation of demand parameters.…
This paper tackles challenges in pricing and revenue projections due to consumer uncertainty. We propose a novel data-based approach for firms facing unknown consumer type distributions. Unlike existing methods, we assume firms only observe…
We consider house allocation with existing tenants in which each agent has dichotomous preferences. We present strategyproof, polynomial-time, and (strongly) individually rational algorithms that satisfy the maximum number of agents. For…
In recent years, there has been a significant focus on advancing the next generation of power systems. Despite these efforts, persistent challenges revolve around addressing the operational impact of uncertainty on predicted data,…
This paper describes a study of agent bidding strategies, assuming combinatorial valuations for complementary and substitutable goods, in three auction environments: sequential auctions, simultaneous auctions, and the Trading Agent…