Related papers: Timing Options for a Startup with Early Terminatio…
We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash flows, we emphasize how risk preferences in particular, but…
Prepayment risk embedded in fixed-rate mortgages forms a significant fraction of a financial institution's exposure. The embedded prepayment option bears the same interest rate risk as an exotic interest rate swap with a suitable stochastic…
On platforms where time-to-contract is itself payoff-relevant--Aalsmeer's flower auctions, ride-hailing dispatch, on-demand-labor matching--the textbook revenue equivalence between Dutch and first-price formats holds the trading outcome…
Prescriptive process monitoring is a family of techniques to optimize the performance of a business process by triggering interventions at runtime. Existing prescriptive process monitoring techniques assume that the number of interventions…
We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives, exit and expansion. In our model, a firm undertakes a small-scale…
This paper starts by defining the criteria where the early-exercise of an American option is never optimal, under positive, or negative rates. It follows with a short analysis of the various shapes of the exercise region under negative…
We consider a natural dynamic staffing problem in which a decision-maker sequentially hires workers over a finite horizon to meet an unknown demand revealed at the end. Predictions about demand arrive over time and become increasingly…
Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in…
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…
I develop a continuous-time model in which an incumbent batch-service provider faces stochastic passenger arrivals and must decide when to dispatch under the threat of customer defection to a faster entrant. The incumbent's problem is…
We study competition between firms that contract with consumers before the consumers fully learn their product preferences. In a Hotelling duopoly, firms screen consumers by offering menus of option contracts. We characterize the unique…
We study a bilateral trade problem where a principal has private information that is revealed with delay, such as a seller who does not yet know her production cost. Postponing the contracting process incurs a costly delay, while early…
New autonomous driving technologies are emerging every day and some of them have been commercially applied in the real world. While benefiting from these technologies, autonomous trucks are facing new challenges in short-term maintenance…
A popular method for solving reachability in timed automata proceeds by enumerating reachable sets of valuations represented as zones. A na\"ive enumeration of zones does not terminate. Various termination mechanisms have been studied over…
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…
A challenging category of robotics problems arises when sensing incurs substantial costs. This paper examines settings in which a robot wishes to limit its observations of state, for instance, motivated by specific considerations of energy…
Software startups face with multiple technical and business challenges, which could make the startup journey longer, or even become a failure. Little is known about entrepreneurial decision making as a direct force to startup development…
In this article we discuss the problem of calculating optimal model-independent (robust) bounds for the price of Asian options with discrete and continuous averaging. We will give geometric characterisations of the maximising and the…
This study explores the approaches used by airlines in setting flight times. It highlights the need to balance operational and strategic factors, such as optimizing the use of resources - including aircraft, crew, and fuel - and managing…
Energy markets with retail choice enable customers to switch energy plans among competitive retail suppliers. Despite the promising benefits of more affordable prices and better savings to customers, there appears subsided participation in…