Related papers: Auctioning Annuities
Using duality theory techniques we derive simple, closed-form formulas for bounding the optimal revenue of a monopolist selling many heterogeneous goods, in the case where the buyer's valuations for the items come i.i.d. from a uniform…
In recent years, a new branch of auction models called diffusion auction has extended the traditional auction into social network scenarios. The diffusion auction models the auction as a networked market whose nodes are potential customers…
In this work we consider selling items using a sequential first price auction mechanism. We generalize the assumption of conservative bidding to extensive form games (henceforth optimistic conservative bidding), and show that for both…
Situations where a group of agents come together to jointly buy a resource that they individually cannot afford to buy are commonly observed in markets. For example in the US market for radio spectrum, a recent proposal invited small firms…
This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure. Furthermore, we apply this valuation method to two examples…
In a single-parameter mechanism design problem, a provider is looking to sell a service to a group of potential buyers. Each buyer $i$ has a private value $v_i$ for receiving the service and a feasibility constraint restricts which sets of…
Electricity markets typically clear in two stages: a day-ahead market and a real-time market. In this paper, we propose market mechanisms for a two-stage multi-interval electricity market with energy storage, generators, and demand…
This paper investigates the problem of proportionally fair double sided energy auction involving buying and selling agents. The grid is assumed to be operating under islanded mode. A distributed auction algorithm that can be implemented by…
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 examine ``tournament'' second-price auctions in which $N$ bidders compete for the right to participate in a second stage and contend against bidder $N+1$. When the first $N$ bidders are committed so that their bids cannot be changed in…
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…
In many settings agents participate in multiple different auctions that are not necessarily implemented simultaneously. Future opportunities affect strategic considerations of the players in each auction, introducing externalities.…
This paper covers a massive acceleration of Monte-Carlo based pricing method for financial products and financial derivatives. The method is applicable in risk management settings, where a financial product has to be priced under a number…
Distributed energy resources (DERs), such as rooftop solar panels, are growing rapidly and are reshaping power systems. To promote DERs, feed-in-tariff (FIT) is usually adopted by utilities to pay DER owners certain fixed rates for…
We consider a sequential decision-making setting where, at every round $t$, a market maker posts a bid price $B_t$ and an ask price $A_t$ to an incoming trader (the taker) with a private valuation for one unit of some asset. If the trader's…
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality…
The growing demand for data and AI-generated digital goods, such as personalized written content and artwork, necessitates effective pricing and feedback mechanisms that account for uncertain utility and costly production. Motivated by…
We study revenue maximization when a seller offers $k$ identical units to ex ante heterogeneous, unit-demand buyers. While anonymous pricing can be $\Theta(\log k)$ worse than optimal in general multi-unit environments, we show that this…
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero…
We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…