Related papers: Designing a Combinatorial Financial Options Market
We study mechanism design for combinatorial cost sharing. Imagine that multiple items or services are available to be shared among a set of interested agents. The outcome of a mechanism in this setting consists of an assignment, determining…
An option is a financial agreement between two parties to trade two assets. One party is given the right, but not the obligation, to complete the swap before a specified termination time. In todays financial markets, an option is considered…
In this paper we present a rigorously motivated pricing equation for derivatives, including general cash collateralization schemes, which is consistent with quoted market bond prices. Traditionally, there have been differences in how…
In this paper, we address one of the main puzzles in finance observed in the stock market by proponents of behavioral finance: the stock predictability puzzle. We offer a statistical model within the context of rational finance which can be…
In this work we consider three problems of the standard market approach to pricing of credit index options: the definition of the index spread is not valid in general, the usually considered payoff leads to a pricing which is not always…
We revisit the well-studied problem of budget-feasible procurement, where a buyer with a strict budget constraint seeks to acquire services from a group of strategic providers (the sellers). During the last decade, several strategyproof…
We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade at the market price or place a limit order, i.e. an instruction to buy (sell) a certain amount of the stock if its price falls…
This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2, in this sense, typical price paths are not rougher than typical paths…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
We study the efficiency of simple combinatorial auctions for the allocation of a set of items to a set of agents, with private subadditive valuation functions and budget constraints. The class we consider includes all auctions that allocate…
Constant Function Market Makers (CFMMs) are a tool for creating exchange markets, have been deployed effectively in prediction markets, and are now especially prominent in the Decentralized Finance ecosystem. We show that for any set of…
The concept of Stock Options is used to address the scarcity of resources, not adequately addressed by the previous tools of our Prediction Mechanism. Using a Predictive Reservation Scheme, network and disk resources are being monitored…
A combinatorial simplex algorithm is an instance of the simplex method in which the pivoting depends on combinatorial data only. We show that any algorithm of this kind admits a tropical analogue which can be used to solve mean payoff…
We give a detailed characterization of optimal trades under budget constraints in a prediction market with a cost-function-based automated market maker. We study how the budget constraints of individual traders affect their ability to…
This paper proposes a new combinatorial auction framework for local energy flexibility markets, which addresses the issue of prosumers' inability to bundle multiple flexibility time intervals. To solve the underlying NP-complete winner…
The Fisher market is one of the most fundamental models for resource allocation problems in economic theory, wherein agents spend a budget of currency to buy goods that maximize their utilities, while producers sell capacity constrained…
We consider budget constrained combinatorial auctions where bidder $i$ has a private value $v_i$, a budget $b_i$, and is interested in all the items in $S_i$. The value to agent $i$ of a set of items $R$ is $|R \cap S_i| \cdot v_i$. Such…
Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…
A derivative is a financial security whose value is a function of underlying traded assets and market outcomes. Pricing a financial derivative involves setting up a market model, finding a martingale (``fair game") probability measure for…
The role of a market maker is to simultaneously offer to buy and sell quantities of goods, often a financial asset such as a share, at specified prices. An automated market maker (AMM) is a mechanism that offers to trade according to some…