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We study robust versions of pricing problems where customers choose products according to a generalized extreme value (GEV) choice model, and the choice parameters are not known exactly but lie in an uncertainty set. We show that, when the…
Cross-validation (CV) is a popular approach for assessing and selecting predictive models. However, when the number of folds is large, CV suffers from a need to repeatedly refit a learning procedure on a large number of training datasets.…
In this work we want to provide a general principle to evaluate the CVA (Credit Value Adjustment) for a vulnerable option, that is an option subject to some default event, concerning the solvability of the issuer. CVA is needed to evaluate…
In this paper, we propose and study a novel continuous-time model, based on the well-known constant elasticity of variance (CEV) model, to describe the asset price process. The basic idea is that the volatility elasticity of the CEV model…
Credit Value Adjustment (CVA) is the difference between the value of the default-free and credit-risky derivative portfolio, which can be regarded as the cost of the credit hedge. Default probabilities are therefore needed, as input…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
The Constant Elasticity of Variance (CEV) model significantly outperforms the Black-Scholes (BS) model in forecasting both prices and options. Furthermore, the CEV model has a marked advantage in capturing basic empirical regularities such…
Relative advantage, or the degree to which a new technology is perceived to be better over the existing technology it supersedes, has a significant impact on individuals decision of adopting to the new technology. This paper investigates…
This paper models a non-cooperative game between two EV charging stations. One is a fixed-power charging station purchasing electricity from the grid at wholesale price and reselling the energy to EV owners at a higher retail price; the…
This paper finds near equilibrium prices for electricity markets with nonconvexities due to binary variables, in order to reduce the market participants' opportunity costs, such as generators' unrecovered costs. The opportunity cost is…
One of the exciting developments in the stated preference literature is the use of probabilistic stated preference experiments to estimate semi-parametric population distributions of ex ante returns and willingness-to-pay (WTP) for a choice…
Understanding citizens' values in participatory systems is crucial for citizen-centric policy-making. We envision a hybrid participatory system where participants make choices and provide motivations for those choices, and AI agents…
Time-of-use pricing is promoted to manage demand at public EV charging stations, yet its effectiveness depends on short run flexibility and local constraints. Using station by day by hour data from Shenzhen and Amsterdam, we estimate…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
Plug-in electric vehicles (EVs) are widely recognized as being highly flexible electric loads that can be pooled and controlled via aggregators to provide low-cost energy and ancillary services to wholesale electricity markets. To…
A key driver of Credit Value Adjustment (CVA) is the possible dependency between exposure and counterparty credit risk, known as Wrong-Way Risk (WWR). At this time, addressing WWR in a both sound and tractable way remains challenging:…
Because of the finiteness of the life span and boundedness of the physical space, the more reasonable or physical choice is the tempered power-law instead of pure power-law for the CTRW model in characterizing the waiting time and jump…
Many-to-many matching with contracts is studied in the framework of revealed preferences. All preferences are described by choice functions that satisfy natural conditions. Under a no-externality assumption individual preferences can be…
In many markets, like electricity or cloud computing markets, providers incur large costs for keeping sufficient capacity in reserve to accommodate demand fluctuations of a mostly fixed user base. These costs are significantly affected by…
The participation of electric vehicle (EV) aggregators in real-time electricity markets offers promising revenue opportunities through price-responsive energy arbitrage. A central challenge in economic bidding lies in quantifying the…