Related papers: Designing a Combinatorial Financial Options Market
We develop a method using parameterized linear equations to define trading mechanisms in market design models. Our method adeptly addresses challenges arising from factors such as complex endowments or coarse priorities, while offering…
As distributed energy resources (DERs) proliferate, future power system will need new market platforms enabling prosumers to trade various electricity and grid-support products. However, prosumers often exhibit complex, product…
This article proposes a calibration framework for complex option pricing models that jointly fits market option prices and the term structure of variance. Calibrated models under the conventional objective function, the sum of squared…
We study the combinatorial contracting problem of D\"utting et al. [FOCS '21], in which a principal seeks to incentivize an agent to take a set of costly actions. In their model, there is a binary outcome (the agent can succeed or fail),…
Sustainable financial markets play an important role in the functioning of human society. Still, the detection and prediction of risk in financial markets remain challenging and draw much attention from the scientific community. Here we…
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements:…
A combinatorial market consists of a set of indivisible items and a set of agents, where each agent has a valuation function that specifies for each subset of items its value for the given agent. From an optimization point of view, the goal…
Double auctions are widely used in financial markets, such as those for stocks, derivatives, currencies, and commodities, to match demand and supply. Once all buyers and sellers have placed their trade requests, the exchange determines how…
Combinatorial optimization can be described as the problem of finding a feasible subset that maximizes a objective function. The paper discusses combinatorial optimization problems, where for each dimension the set of feasible subsets is…
This paper presents a new combinatorial optimisation task, the Subset Sum Matching Problem (SSMP), which is an abstraction of common financial applications such as trades reconciliation. We present three algorithms, two suboptimal and one…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…
This paper develops algorithms to solve strong-substitutes product-mix auctions. That is, it finds competitive equilibrium prices and quantities for agents who use this auction's bidding language to truthfully express their…
We study a novel class of mechanism design problems in which the outcomes are constrained by the payments. This basic class of mechanism design problems captures many common economic situations, and yet it has not been studied, to our…
Recently there has been a large amount of research designing mechanisms for auction scenarios where the bidders are connected in a social network. Different from the existing studies in this field that focus on specific auction scenarios…
This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under the risk neutral measure. Then, these…
American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some of the properties --volatility and…
We investigate the relation between the fair price for European-style vanilla options and the distribution of short-term returns on the underlying asset ignoring transaction and other costs. We compute the risk-neutral probability density…
An accumulator is a bet that presents a rather unique payout structure, in that it combines multiple bets into a wager that can generate a total payout given by the multiplication of the individual odds of its parts. These potentially…
The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an options portfolio with a certain payoff function has been proposed. The model is formulated as an integer…
We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for…