Related papers: Auction Type Resolution on Smart Derivatives
We present a stochastic local volatility model for derivative contracts on commodity futures. The aim of the model is to be able to recover the prices of derivative claims both on futures contracts and on indices on futures strategies.…
An automated market maker (AMM) is a state machine that manages pools of assets, allowing parties to buy and sell those assets according to a fixed mathematical formula. AMMs are typically implemented as smart contracts on blockchains, and…
In this paper we extend discrete time semi-static trading strategies by also allowing for dynamic trading in a finite amount of options, and we study the consequences for the model-independent super-replication prices of exotic derivatives.…
Many challenges in today's society can be tackled by distributed open systems. This is particularly true for domains that are commonly perceived under the umbrella of smart cities, such as intelligent transportation, smart energy grids, or…
It is well known that rightly applied reverse auctions offer big commercial potential to procurement departments. However, the sheer number of auction types often overwhelms users in practice. And since the implications of a wrongly chosen…
We consider a repeated auction where the buyer's utility for an item depends on the time that elapsed since his last purchase. We present an algorithm to build the optimal bidding policy, and then, because optimal might be impractical, we…
The real estate market includes complex and inefficient mediation processes. Renting a property envolves multiple entities with different responsibilities and interests. Therefore it is imperative to establish a trustful relationship…
Inheritances, divorces or liquidations of companies require common assets to be divided among the entitled parties. Legal methods usually consider the market value of goods, while fair division theory takes into account the parties'…
We study the problem of designing revenue-maximizing auctions for allocating multiple goods to flexible consumers. In our model, each consumer is interested in a subset of goods known as its flexibility set and wants to consume one good…
Smart Contracts use computer technology to automate the performance of aspects of commercial agreements. Yet how can there be confidence that the computer code is faithful to the intentions of the parties? To understand the depth and…
Increasing number of the cloud-based Internet applications demands for efficient resource and cost management. This paper proposes a real-time group auction system for the cloud instance market. The system is designed based on a…
Gradient-based methods for optimisation of objectives in stochastic settings with unknown or intractable dynamics require estimators of derivatives. We derive an objective that, under automatic differentiation, produces low-variance…
We study how to enable auctions in the big data context to solve many upcoming data-based decision problems in the near future. We consider the characteristics of the big data including, but not limited to, velocity, volume, variety, and…
The growing demand in mobile Internet access calls for high capacity and energy efficient cellular access with better cell coverage. The in-band relaying solution, proposed in LTE-Advanced, improves coverage without requiring additional…
Auctions play an important role in electronic commerce, and have been used to solve problems in distributed computing. Automated approaches to designing effective auction mechanisms are helpful in reducing the burden of traditional game…
We study buyer-optimal procurement mechanisms when quality is contractible. When some costs are borne by every participant of a procurement auction regardless of winning, the classic analysis should be amended. We show that an optimal…
Auctions are widely used in exchanges to match buy and sell requests. Once the buyers and sellers place their requests, the exchange determines how these requests are to be matched. The two most popular objectives used while determining the…
In traditional machine learning, the central server first collects the data owners' private data together and then trains the model. However, people's concerns about data privacy protection are dramatically increasing. The emerging paradigm…
Flexibility markets can be introduced as a tool for the distribution system operator (DSO) to avoid high costs and public opposition against new network investments. Continuous flexibility markets have the advantage of allowing more…
Modern mathematics is built on the idea that proofs should be translatable into formal proofs, whose validity is an objective question, decidable by a computer. Yet, in practice, proofs are informal and may omit many details. An agent…