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Companies like Google and Microsoft run billions of auctions every day to sell advertising opportunities. Any change to the rules of these auctions can have a tremendous effect on the revenue of the company and the welfare of the…
We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The…
We introduce and analyze a variation of the Bertrand game in which the revenue is shared between two players. This game models situations in which one economic agent can provide goods/services to consumers either directly or through an…
We study the two-player coupon-collector competition in which two independent collectors draw one coupon each per round from a set of $d$ equally likely coupon types. Myers and Wilf gave finite formulae for several two-player events and…
Decision makers often need to rely on imperfect probabilistic forecasts. While average performance metrics are typically available, it is difficult to assess the quality of individual forecasts and the corresponding utilities. To convey…
This contribution is concerned with price optimisation of the new business for a non-life product. Due to high competition in the insurance market, non-life insurers are interested in increasing their conversion rates on new business based…
In this paper we ask whether, given a stock market and an illiquid derivative, there exists arbitrage-free prices at which an utility-maximizing agent would always want to buy the derivative, irrespectively of his own initial endowment of…
Posted price mechanisms are prevalent in allocating goods within online marketplaces due to their simplicity and practical efficiency. We explore a fundamental scenario where buyers' valuations are independent and identically distributed,…
We establish an equivalence between two seemingly different theories: one is the traditional axiomatisation of incomplete preferences on horse lotteries based on the mixture independence axiom; the other is the theory of desirable gambles…
Decision-making methods very often use the technique of comparing alternatives in pairs. In this approach, experts are asked to compare different options, and then a quantitative ranking is created from the results obtained. It is commonly…
The price of a stock will rarely follow the assumed model and a curious investor or a Regulatory Authority may wish to obtain a probability model the prices support. A risk neutral probability ${\cal P}^*$ for the stock's price at time $T$…
In sponsored search advertising, advertisers need to make a series of keyword decisions. Among them, how to group these keywords to form several adgroups within a campaign is a challenging task, due to the highly uncertain environment of…
We study the mechanism design problem of allocating a set of indivisible items without monetary transfers. Despite the vast literature on this very standard model, it still remains unclear how do truthful mechanisms look like. We focus on…
We initiate the study of incentive-compatible forecasting competitions in which multiple forecasters make predictions about one or more events and compete for a single prize. We have two objectives: (1) to incentivize forecasters to report…
A numerical agent-based spin model of financial markets, based on the Potts model from statistical mechanics, with a novel interpretation of the spin variable (as regards financial-market models) is presented. In this model, a value of the…
In this paper, we propose a model which simulates odds distributions of pari-mutuel betting system under two hypotheses on the behavior of bettors: 1. The amount of bets increases very rapidly as the deadline for betting comes near. 2. Each…
Prediction markets allow traders to bet on potential future outcomes. These markets exist for weather, political, sports, and economic forecasting. Within this work we consider a decentralized framework for prediction markets using…
We analyze different ways of pairing agents in a bipartite matching problem, with regard to its scaling properties and to the distribution of individual ``satisfactions''. Then we explore the role of partial information and bounded…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
For a linear combination of random variables, fix some confidence level and consider the quantile of the combination at this level. We are interested in the partial derivatives of the quantile with respect to the weights of the random…