Related papers: Auction Type Resolution on Smart Derivatives
This paper uses deep learning to value derivatives. The approach is broadly applicable, and we use a call option on a basket of stocks as an example. We show that the deep learning model is accurate and very fast, capable of producing…
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…
Optimal auction design is a fundamental problem in algorithmic game theory. This problem is notoriously difficult already in very simple settings. Recent work in differentiable economics showed that neural networks can efficiently learn…
With the Internet of Things (IoT), Things are expected to live in different "domains" and "contexts" during their lifetime. Information generated by and associated with Things should be manageable by multiple, diverse stakeholders…
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…
We address the liquidation problem arising from the credit risk management in decentralised finance (DeFi) by formulating it as an ergodic optimal control problem. In decentralised derivatives exchanges, liquidation is triggered whenever…
Smart contracts are distributed, self-enforcing programs executing on top of blockchain networks. They have the potential to revolutionize many industries such as financial institutes and supply chains. However, smart contracts are subject…
We consider a seller who offers services to a buyer with multi-unit demand. Prior to the realization of demand, the buyer receives a noisy signal of their future demand, and the seller can design contracts based on the reported value of…
The goal of an auction is to determine commodity prices such that all participants are perfectly happy. Such a solution is called a competitive equilibrium and does not exist in general. For this reason we are interested in solutions which…
In this paper we formulate a contract design problem where a primary license holder wishes to profit from its excess spectrum capacity by selling it to potential secondary users/buyers. It needs to determine how to optimally price the…
In this paper, we propose a novel sealed-bid auction framework to address the problem of dynamic spectrum allocation in cognitive radio (CR) networks. We design an optimal auction mechanism that maximizes the moderator's expected utility,…
We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading. When the trader creates an instantaneous…
We consider an outsourcing problem where a software agent procures multiple services from providers with uncertain reliabilities to complete a computational task before a strict deadline. The service consumer requires a procurement strategy…
With the massive amount of digital data generated everyday, transactions of digital goods become a trend. One of the essential requirements for such transactions is fairness, which is defined as that both of the seller and the buyer get…
We study a model of auction representative of the 5G auction in France. We determine the optimal strategy of a bidder, assuming that the valuations of competitors are unknown to this bidder and that competitors adopt the straightforward…
Blockchain technologies, such as smart contracts, present a unique interface for machine-to-machine communication that provides a secure, append-only record that can be shared without trust and without a central administrator. We study the…
This paper presents TXSC, a framework that provides smart contract developers with transaction primitives. These primitives allow developers to write smart contracts without the need to reason about the anomalies that can arise due to…
This paper studies optimal auction design when valuations depend endogenously on post-auction collaboration between the seller and the winning bidder. Both parties exert non-contractible efforts after the auction, generating a double moral…
In this paper, we introduce a novel, non-recursive, maximal matching algorithm for double auctions, which aims to maximize the amount of commodities to be traded. It differs from the usual equilibrium matching, which clears a market at the…
Derivatives are a special type of financial contracts used to hedge risks or to speculate on the market fluctuations. In order to avoid ambiguities and misinterpretations, several domain specific languages (DSLs) for specifying such…