Related papers: Cartel Stability under Quality Differentiation
The collateral choice option gives the collateral posting party the opportunity to switch between different collateral currencies which is well-known to impact the asset price. Quantification of the option's value is of practical importance…
Shelf design decisions strongly influence product demand. In particular, placing products in desirable locations increases demand. This primary effect on shelf position is clear, but there is a secondary effect based on the relative…
In this paper, we consider a stabilization problem of an uncertain system in a networked control setting. Due to the network, the measurements are quantized to finite-bit signals and may be randomly lost in the communication. We study…
A monopolist wishes to maximize her profits by finding an optimal price policy. After she announces a menu of products and prices, each agent $x$ will choose to buy that product $y(x)$ which maximizes his own utility, if positive. The…
We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case…
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…
This research is to assess cryptocurrencies with the conditional beta, compared with prior studies based on unconditional beta or fixed beta. It is a new approach to building a pricing model for cryptocurrencies. Therefore, we expect that…
This paper examines an adverse selection environment where a sender with private information (high or low ability) tries to convince a receiver of having higher ability. Without commitment or costly signaling, market failure can occur.…
We deal with coalitional games possessing strictly positive values. Individually rational allocations of such a game has clear fractional interpretations. Many concepts, including the long-existing core and other stability notions more…
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, where our parametrization of perturbations allows for joint…
This is the third paper in a series concerning the game-theoretic aspects of position-building while in competition. The first paper set forth foundations and laid out the essential goal, which is to minimize implementation costs in light…
Dynamic pricing of goods in a competitive environment to maximize revenue is a natural objective and has been a subject of research over the years. In this paper, we focus on a class of markets exhibiting the substitutes property with…
In practice there are temporary arbitrage opportunities arising from the fact that prices for a given asset at different stock exchanges are not instantaneously the same. We will show that even in such an environment there exists a…
The continuous-time version of Kyle's (1985) model is studied, in which market makers are not fiduciaries. They have some market power which they utilize to set the price to their advantage, resulting in positive expected profits. This has…
When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and not too risk averse for low wealth. We prove this result in a…
We study discrete time linear constrained switching systems with additive disturbances, in which the switching may be on the system matrices, the disturbance sets, the state constraint sets or a combination of the above. In our general…
We consider a cooperative game defined by an economic lot-sizing problem with heterogeneous costs over a finite time horizon, in which each firm faces demand for a single product in each period and coalitions can pool orders. The model of…
Derivative pricing is about cash flow discounting at the riskfree rate. This teaching has lost its meaning post the financial crisis, due to the addition of extra value adjustments (XVA), which also made derivatives pricing and valuation a…
We study a variation of the price competition model a la Bertrand, in which firms must offer menus of contracts that obey monotonicity constraints, e.g., wages that rise with worker productivity to comport with equal pay legislation. While…
Stability of linear systems with uncertain bounded time-varying delays is studied under assumption that the nominal delay values are not equal to zero. An input-output approach to stability of such systems is known to be based on the bound…