Related papers: Auction Type Resolution on Smart Derivatives

An auction house cannot generally provide the optimal auction technology to every client. Instead it provides one or several auction technologies, and clients select the most appropriate one. For example, eBay provides ascending auctions…

In an increasingly complex contractual landscape, the demand for transparency, security, and efficiency has intensified. Blockchain technology, with its decentralized and immutable nature, addresses these challenges by reducing intermediary…

Pricing a multi-asset derivative is an important problem in financial engineering, both theoretically and practically. Although it is suitable to numerically solve partial differential equations to calculate the prices of certain types of…

Combinatorial auctions are formulated as frustrated lattice gases on sparse random graphs, allowing the determination of the optimal revenue by methods of statistical physics. Transitions between computationally easy and hard regimes are…

An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…

The hype about Bitcoin has overrated the potential of smart contracts deployed on-blockchains (on-chains) and underrated the potential of smart contracts deployed on-Trusted Third Parties (on-TTPs). As a result, current research and…

Small operators who take part in secondary wireless spectrum markets typically have strict budget limits. In this paper, we study the bidding problem of a budget constrained operator in repeated secondary spectrum auctions. In existing…

We use formal methods to specify, design, and monitor continuous double auctions, which are widely used to match buyers and sellers at exchanges of foreign currencies, stocks, and commodities. We identify three natural properties of such…

Smart contracts show a high potential for ensuring that Supply Chain Management strategies make a qualitative leap toward higher levels of optimality, not only in terms of efficiency and profitability but also in the aggregation of skills…

This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously…

The immutability of smart contracts on blockchain platforms like Ethereum promotes security and trustworthiness but presents challenges for updates, bug fixes, or adding new features post-deployment. These limitations can lead to…

Perpetual swaps are derivative contracts that allow traders to speculate on, or hedge, the price movements of cryptocurrencies. Unlike futures contracts, perpetual swaps have no settlement or expiration in the traditional sense. The funding…

Combinatorial auctions where agents can bid on bundles of items are desirable because they allow the agents to express complementarity and substitutability between the items. However, expressing one's preferences can require bidding on all…

In an online contract selection problem there is a seller which offers a set of contracts to sequentially arriving buyers whose types are drawn from an unknown distribution. If there exists a profitable contract for the buyer in the offered…

This letter considers the design of an auction mechanism to sell the object of a seller when the buyers quantize their private value estimates regarding the object prior to communicating them to the seller. The designed auction mechanism…

We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal strategies should be particularly relevant…

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…

We study a basic auction design problem with online supply. There are two unit-demand bidders and two types of items. The first item type will arrive first for sure, and the second item type may or may not arrive. The auctioneer has to…

Standard procurement models assume that the buyer knows the quality of the good at the time of procurement; however, in many settings, the quality is learned only long after the transaction. We study procurement problems in which the…

We consider the problem of optimal bidding for virtual trading in two-settlement electricity markets. A virtual trader aims to arbitrage on the differences between day-ahead and real-time market prices; both prices, however, are random and…