Related papers: Path-dependent Kyle equilibrium model
A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent claim under the ``distorted Radon-Nikodym derivative'' and…
In practice, most auction mechanisms are not strategy-proof, so equilibrium analysis is required to predict bidding behavior. In many auctions, though, an exact equilibrium is not known and one would like to understand whether -- manually…
The pathway model of Mathai (2005) is shown to be inferable from the maximization of a certain generalized entropy measure. This entropy is a variant of the generalized entropy of order 'alpha', considered in Mathai and Rathie (1975), and…
In the present paper, a discrete version of It\^o's formula for a class of multi-dimensional random walk is introduced and applied to the study of a discrete-time complete market model which we call He's framework. The formula unifies…
We study the mechanism design problem of selling $k$ items to unit-demand buyers with private valuations for the items. A buyer either participates directly in the auction or is represented by an intermediary, who represents a subset of…
We present a novel exactly solvable ordinary differential equation model for rate-induced tipping: a dynamic phenomenon of dynamical systems where a time-dependent parameter triggers the transition of stability of a system. Our model…
We propose a generalized market equilibrium model using assignment game criteria for evaluating transportation systems that consist of both operators' and users' decisions. The model finds stable pricing, in terms of generalized costs, and…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
We study dynamic mechanism design in a pure-exchange economy with privately observed idiosyncratic income. In the standard infinitely lived hidden-income benchmark of Green (1987) and Thomas-Worrall (1990), constrained-efficient allocations…
We consider piecewise linear discrete time macroeconomic models, which possess a continuum of equilibrium states. These systems are obtained by replacing rational inflation expectations with a boundedly rational, and genuinely sticky,…
Accurate modeling of the temporal evolution of asset prices is crucial for understanding financial markets. We explore the potential of discrete-time quantum walks to model the evolution of asset prices. Return distributions obtained from a…
We present an approach for pricing European call options in presence of proportional transaction costs, when the stock price follows a general exponential L\'{e}vy process. The model is a generalization of the celebrated work of Davis,…
The main purpose of this work is the derivation of a functional partial differential equation (FPDE) for the calculations of equity-linked insurance policies, where the payment stream may depend on the whole past history of the financial…
Input-output theory is a well-known tool in quantum optics and ubiquitous in the description of quantum systems probed by light. Owing to the generality of the setup it describes, the theory finds application in a wide variety of…
The goal of this paper is to define stochastic integrals and to solve stochastic differential equations for typical paths taking values in a possibly infinite dimensional separable Hilbert space without imposing any probabilistic structure.…
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…
The problem of robust dynamic pricing of an abstract commodity, whose inventory is specified at an initial time but never subsequently replenished, originally studied by Perakis and Sood (2006) in discrete time, is considered from the…
We show an auction-based algorithm to compute market equilibrium prices in a production model, where consumers purchase items under separable nonlinear utility concave functions which satisfy W.G.S(Weak Gross Substitutes); producers produce…
Departing from the dominant approach focused on individual and meso-level determinants, this paper develops a macroeconomic formalization of job insecurity within a New Keynesian framework in which the standard IS-NKPC-Taylor rule block is…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…