Related papers: Replicating Monotonic Payoffs Without Oracles
In this paper, we provide a model-independent extension of the paradigm of dynamic hedging of derivative claims. We relate model-independent replication strategies to local martingales having a closed form which we can characterise via…
We present a possible kind of generalization of the notion of ordered pairs of cyclic maps and coupled fixed points and its application in modelling of equilibrium in oligopoly markets. We have obtained sufficient conditions for the…
We present a variation of the well-known binomial model of asset prices. This variation incorporates a bound to short-selling, inspired by a model from Gunduz Caginalp[2]. We formalize this model and prove a formula for all the moments of…
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American…
We study incremental knapsack problems with profits given by a special class of monotone submodular functions, that we dub all-or-nothing. We show that these problems are not harder to approximate than a less general class of modular…
The Consumer Financial Protection Bureau defines the notion of payoff amount as the amount that has to be payed at a particular time in order to completely pay off the debt, in case the lender intends to pay off the loan early, way before…
Traders are often faced with large block orders in markets with limited liquidity and varying volatility. Executing the entire order at once usually incurs a large trading cost because of this limited liquidity. In order to minimize this…
We formalize the problem of maximizing the mean-payoff value with high probability while satisfying a parity objective in a Markov decision process (MDP) with unknown probabilistic transition function and unknown reward function. Assuming…
Automated market makers (AMMs) are pricing mechanisms utilized by decentralized exchanges (DEX). Traditional AMM approaches are constrained by pricing solely based on their own liquidity pool, without consideration of external markets or…
Financial options are contracts that specify the right to buy or sell an underlying asset at a strike price by an expiration date. Standard exchanges offer options of predetermined strike values and trade options of different strikes…
In common-interest stochastic games all players receive an identical payoff. Players participating in such games must learn to coordinate with each other in order to receive the highest-possible value. A number of reinforcement learning…
What payoffs are positionally determined for deterministic two-player antagonistic games on finite directed graphs? In this paper we study this question for payoffs that are continuous. The main reason why continuous positionally determined…
We use the method of monotone iterations to obtain fixed point and coupled fixed point results for mixed monotone operators in the setting of partially ordered sets, with no additional assumptions on the partial order and with no…
Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs) where exchange rates are set by a trading function. This…
We consider a nonlinear pricing environment with private information. We provide profit guarantees (and associated mechanisms) that the seller can achieve across all possible distributions of willingness to pay of the buyers. With a…
Learning from repeated play in a fixed two-player zero-sum game is a classic problem in game theory and online learning. We consider a variant of this problem where the game payoff matrix changes over time, possibly in an adversarial…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In constrast with previous MG, the best strategies are not always targeting the minority but are shifting…
Imitation is widely observed in populations of decision-making agents. Using our recent convergence results for asynchronous imitation dynamics on networks, we consider how such networks can be efficiently driven to a desired equilibrium…
We introduce a non-parametric method to recover physical probability distributions of asset returns based on their European option prices and some other sparse parametric information. Thus the main problem is similar to the one considered…