Related papers: Risk-Averse Equilibrium Analysis and Computation
We study a networked economic system composed of $n$ producers supplying a single homogeneous good to a number of geographically separated markets and of a centralized authority, called the market maker. Producers compete \`a la Cournot, by…
We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model…
This paper studies how to aggregate prosumers (or large consumers) and their collective decisions in electricity markets, with a focus on fairness. Fairness is essential for prosumers to participate in aggregation schemes. Some prosumers…
This thesis develops equilibrium asset pricing models in incomplete markets with a large number of heterogeneous agents using mean field game theory. The market equilibrium is characterized by a novel form of mean field backward stochastic…
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…
Increased penetration of wind energy will make electricity market prices more volatile. As a result, market participants will bear increased financial risks, which impact investment decisions and in turn, makes it harder to achieve…
Two-sided marketplaces embody heterogeneity in incentives: producers seek exposure while consumers seek relevance, and balancing these competing objectives through constrained optimization is now a standard practice. Yet real platforms face…
Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
We explore stability and fairness considerations in decentralized networked markets with bilateral contracts, building on the trading networks framework [Hatfield et al., 2013]. In our trading network game, we show that a well-defined…
The introduction of aggregator structures has proven effective in bringing fairness to energy resource allocation by negotiating for more resources and economic surplus on behalf of users. This paper extends the fair energy resource…
In Electricity markets, illiquidity, transaction costs and market price characteristics prevent managers to replicate exactly contracts. A residual risk is always present and the hedging strategy depends on a risk criterion chosen. We…
We consider a monopoly insurance market with a risk-neutral profit-maximizing insurer and a consumer with Yaari Dual Utility preferences that distort the given continuous loss distribution. The insurer observes the loss distribution but not…
Dynamic, risk-based pricing can systematically exclude vulnerable consumer groups from essential resources such as health insurance and consumer credit. We show that a regulator can realign private incentives with social objectives through…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…
Efficient markets are characterised by profit-driven participants continuously refining their positions towards the latest insights. Margins for profit generation are generally small, shaping a difficult landscape for automated trading…
Continuous integration of renewable energy sources into power networks is causing a paradigm shift in energy generation and distribution with regards to trading and control; the intermittent nature of renewable sources affects pricing of…
A significant roadblock to the development of principled multi-agent reinforcement learning is the fact that desired solution concepts like Nash equilibria may be intractable to compute. To overcome this obstacle, we take inspiration from…
Electricity markets differ in their ability to meet power imbalances in short notice in a controlled fashion. Relatively flexible markets have the ability to ramp up (or down) power flows across interties without compromising their ability…