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We consider a two-factor model for the valuation of a non callable defaultable bond which pays coupons at certain given dates. The model under consideration is the Jump to Default Constant Elasticity of Variance (JDCEV) model. The JDCEV…
Time variability is a pervasive feature of mobility services and a major source of welfare loss. Although literature has quantified the cost of time variability (COTV), it remains theoretically unclear how bad time variability can be in the…
We study competitive dynamic pricing among multiple sellers, motivated by the rise of large-scale experimentation and algorithmic pricing in retail and online marketplaces. Sellers repeatedly set prices using simple learning rules and…
In this paper, we address the much-anticipated deployment of connected and automated vehicles (CAVs) in society by modeling and analyzing the social-mobility dilemma in a game-theoretic approach. We formulate this dilemma as a normal-form…
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims…
The continuous observation of the financial markets has identified some stylized facts which challenge the conventional assumptions, promoting the born of new approaches. On the one hand, the long-range dependence has been faced replacing…
We study a matching problem between agents and public goods, in settings without monetary transfers. Since goods are public, they have no capacity constraints. There is no exogenously defined budget of goods to be provided. Rather, each…
Variational inequalities (VIs) encompass many fundamental problems in diverse areas ranging from engineering to economics and machine learning. However, their considerable expressivity comes at the cost of computational intractability. In…
This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility. In this…
Generalized linear latent variable models (GLLVMs) are a class of methods for analyzing multi-response data which has garnered considerable popularity in recent years, for example, in the analysis of multivariate abundance data in ecology.…
This survey on stationary and evolutionary problems with gradient constraints is based on developments of monotonicity and compactness methods applied to large classes of scalar and vectorial solutions to variational and quasi-variational…
We study dynamic pricing where a seller repeatedly interacts with a strategic, non-myopic buyer who has a fixed private valuation and discounts future utility. Prior work focused exclusively on posted-price mechanisms, which only extract…
Electric Vehicle (EV) charging recommendation that both accommodates user preference and adapts to the ever-changing external environment arises as a cost-effective strategy to alleviate the range anxiety of private EV drivers. Previous…
We consider the problem of computing the Value Adjustment of European contingent claims when default of either party is considered, possibly including also funding and collateralization requirements. As shown in Brigo et al. (\cite{BLPS},…
Drawing insights from the triumph of relativistic over classical mechanics when velocities approach the speed of light, we explore a similar improvement to the seminal Black-Scholes (Black and Scholes (1973)) option pricing formula by…
We consider the problem of forecasting the aggregate demand of a pool of price-responsive consumers of electricity. The price-response of the aggregation is modeled by an optimization problem that is characterized by a set of marginal…
Financial markets based on L\'evy processes are typically incomplete and option prices depend on risk attitudes of individual agents. In this context, the notion of utility indifference price has gained popularity in the academic circles.…
Although electric vehicles (EVs) are a climate friendly alternative to internal combustion engine vehicles (ICEVs), EV adoption is challenged by higher up-front procurement prices. Existing discourse attributes this price differential to…
Chemical reaction sampling critically depends on collective variables (CVs) that capture the slow degrees of freedom governing reactive transformations. However, existing reaction CVs are often defined in geometric space or learned in a…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…