Related papers: Foundations for Wash Sales
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…
We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a…
We study the problem of characterizing revenue optimal auctions for single-minded buyers. Each buyer is interested only in a specific bundle of items and has a value for the same. Both his bundle and its value are his private information.…
We use a control framework to analyze the digital vendor's profit maximization problem. The vendor captures market share by focusing costly effort on post-launch product maintenance, which influences user perception of the product and…
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time \tau is modelled as the first time a stochastic process hits a random barrier L. The insider…
We describe how the market-based average and volatility of the "actual" return, which the investors gain within their market sales, depend on the statistical moments, volatilities, and correlations of the current and past market trade…
This paper discusses the revenue management (RM) problem to maximize revenue by pricing items or services. One challenge in this problem is that the demand distribution is unknown and varies over time in real applications such as airline…
We consider the stochastic control problem of a financial trader that needs to unwind a large asset portfolio within a short period of time. The trader can simultaneously submit active orders to a primary market and passive orders to a dark…
We study the Merton portfolio management problem within a complete market, non constant time discount rate and general utility framework. The non constant discount rate introduces time inconsistency which can be solved by introducing sub…
Inspired by real-time ad exchanges for online display advertising, we consider the problem of inferring a buyer's value distribution for a good when the buyer is repeatedly interacting with a seller through a posted-price mechanism. We…
The repair problem for functional dependencies is the problem where an input database needs to be modified such that all functional dependencies are satisfied and the difference with the original database is minimal. The output database is…
We consider a repeated auction where the buyer's utility for an item depends on the time that elapsed since his last purchase. We present an algorithm to build the optimal bidding policy, and then, because optimal might be impractical, we…
The profit and loss (p&l) attrition for each business year into different risk or risk factors (e.g., interest rates, credit spreads, foreign exchange rate etc.) is a regulatory requirement, e.g., under Solvency 2. Three different…
A constant rebalanced portfolio is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. Recently, there has been work on on-line portfolio selection algorithms which are…
A repurchase agreement lets investors borrow cash to buy securities. Financier only lends to securities' market value after a haircut and charges interest. Repo pricing is characterized with its puzzling dual pricing measures: repo haircut…
Redatuming is a data processing technique to transform measurements recorded in one acquisition geometry to an analogous data set corresponding to another acquisition geometry, for which there are no recorded measurements. We consider a…
We consider a dynamic pricing problem under unknown demand models. In this problem a seller offers prices to a stream of customers and observes either success or failure in each sale attempt. The underlying demand model is unknown to the…
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…
An investment portfolio consists of $n$ algorithmic trading strategies, which generate vectors of positions in trading assets. Sign opposite trades (buy/sell) cross each other as strategies are combined in a portfolio. Then portfolio…
When a store sells items to customers, the store wishes to determine the prices of the items to maximize its profit. Intuitively, if the store sells the items with low (resp. high) prices, the customers buy more (resp. less) items, which…