Related papers: Monopoly Pricing in Vertical Markets with Demand U…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price…
We study optimal monopoly pricing over consumer networks governed by general nonlinear utilities. In our framework, a consumer's utility is jointly determined by an individualized price and the consumption choices of their peers, propagated…
We consider class of equilibrium models including the implicit Walras supply-demand and competitive models. Such a model in this class, in general, is ill-posed. We formulate such a model in the form a variational inequality having certain…
We study common properties of retail pricing models within a general framework of calculus of variations. In particular, we observe that for any demand model, optimal de-seasoned revenue rate divided by price elasticity is time invariant.…
The intermittent nature of renewable energy resources creates extra challenges in the operation and control of the electricity grid. Demand flexibility markets can help in dealing with these challenges by introducing incentives for…
A platform commits to a search algorithm that maps prices to search order. Given this algorithm, sellers set prices, and consumers engage in sequential search. This framework generalizes the ordered search literature. We introduce a special…
There is an opportunity in modern power systems to explore the demand flexibility by incentivizing consumers with dynamic prices. In this paper, we quantify demand flexibility using an efficient tool called time-varying elasticity, whose…
It can be profitable for vehicle service providers to set service prices based on users' travel demand on different origin-destination pairs. The prior studies on the spatial pricing of vehicle service rely on the assumption that providers…
The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the…
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the…
We study problems arising in real-time auction markets, common in e-commerce and computational advertising, where bidders face the problem of calculating optimal bids. We focus upon a contract management problem where a demand aggregator is…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
We study a demand response problem from utility (also referred to as operator)'s perspective with realistic settings, in which the utility faces uncertainty and limited communication. Specifically, the utility does not know the cost…
Many of the observations we make are biased by our decisions. For instance, the demand of items is impacted by the prices set, and online checkout choices are influenced by the assortments presented. The challenge in decision-making under…
Fisher markets are one of the most fundamental models for resource allocation. However, the problem of computing equilibrium prices in Fisher markets typically relies on complete knowledge of users' budgets and utility functions and…
We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly…
The disbalance of Supply and Demand is typically considered as the driving force of the markets. However, the measurement or estimation of Supply and Demand at price different from the execution price is not possible even after the…
To meet carbon emission targets, governments around the world seek electricity consumers to invest in self-sufficiency technologies such as solar photovoltaic and battery storage. Such behaviour is sought in markets typically characterised…