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We study a data pricing problem, where a seller has access to $N$ homogeneous data points (e.g. drawn i.i.d. from some distribution). There are $m$ types of buyers in the market, where buyers of the same type $i$ have the same valuation…
To choose between two discrete goods, a consumer pays attention to only those with prices below a threshold. From these, she chooses her most preferred good. We assume consumers in a population have the same preference but may have…
We study long-run market stability for repeated price competitions between two firms, where consumer demand depends on firms' posted prices and consumers' price expectations called reference prices. Consumers' reference prices vary over…
Time or money? That is a question! In this paper, we consider this dilemma in the pricing regime, in which we try to find the optimal pricing scheme for identical items with heterogenous time-sensitive buyers. We characterize the…
Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades…
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that…
The assortment problem in revenue management is the problem of deciding which subset of products to offer to consumers in order to maximise revenue. A simple and natural strategy is to select the best assortment out of all those that are…
We consider a scenario where a retailer can set different prices for different consumers in a smart grid. The retailer's objective is to maximize the revenue, minimize the operating cost, and maximize the consumer's welfare. The retailer…
The paper studies pricing of insurance products focusing on the pricing of annuities under uncertainty. This pricing problem is crucial for financial decision making and was studied intensively, however, many open questions still remain. In…
We study the pricing and hedging of European spread options on correlated assets when, in contrast to the standard framework and consistent with imperfect liquidity markets, the trading in the stock market has a direct impact on stocks…
Firms that price perishable resources -- airline seats, hotel rooms, seasonal inventory -- now routinely use demand predictions, but these predictions vary widely in quality. Under hard capacity constraints, acting on an inaccurate…
In this paper, we explore the short- and long-term stability of backed stablecoins offering constant mint and redeem prices to all agents. We refer to such designs as price window-based, since the mint and redeem prices constrain the…
Reliability Options are capacity remuneration mechanisms aimed at enhancing security of supply in electricity systems. They can be framed as call options on electricity sold by power producers to System Operators. This paper provides a…
In many realistic problems of allocating resources, economy efficiency must be taken into consideration together with social equality, and price rigidities are often made according to some economic and social needs. We study the…
We investigate high frequency price dynamics in foreign exchange market using data from Reuters information system (the dataset has been provided to us by Ols en & Associates). In our analysis we show that a na\"ive approach to the…
Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have…
Latent order book models have allowed for significant progress in our understanding of price formation in financial markets. In particular they are able to reproduce a number of stylized facts, such as the square-root impact law. An…
The Price equation provides a formal account of selection building on a right-total mapping between two classes of individuals, that is usually interpreted as a parent-offspring relation. This paper presents a new formulation of the Price…
We analyze the French housing market prices in the period 1970-2022, with high-resolution data from 2018 to 2022. The spatial correlation of the observed price field exhibits logarithmic decay characteristic of the two-dimensional random…
Low search costs in Internet markets can be used by consumers to find low prices, but can also be used by retailers to monitor competitors' prices. This price monitoring can lead to price matching, resulting in dampened price competition…