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We consider a revenue-maximizing seller with $m$ heterogeneous items and a single buyer whose valuation $v$ for the items may exhibit both substitutes (i.e., for some $S, T$, $v(S \cup T) < v(S) + v(T)$) and complements (i.e., for some $S,…
Variational Autoencoders (VAEs) often exhibit a polarised regime in which latent variables separate into active, passive, and mixed subsets. Existing criteria for identifying active dimensions depend on a Gaussian prior, limiting their…
I develop a revealed preference framework to test whether an aggregate allocation of indivisible objects satisfies Pareto efficiency and individual rationality (PI) without observing individual preferences. Exploiting the type-based…
Stated choice probabilities are increasingly used in conjunction with the random-coefficient model (RCM) to describe individual preferences. They allow survey respondents to express uncertainty about the future or the incompleteness of a…
We establish a variant of Monge--Kantorovich duality for a constrained optimal transport problem with a continuum of agents, a finite set of alternatives, and general linear constraints. As an application, we revisit the large-market model…
It is well known that general variational inequalities provide us with a unified, natural, novel and simple framework to study a wide class of unrelated problems, which arise in pure and applied sciences. In this paper, we present a number…
Cross-Validation (CV) is the default choice for evaluating the performance of machine learning models. Despite its wide usage, their statistical benefits have remained half-understood, especially in challenging nonparametric regimes. In…
Before the 2008 financial crisis, most research in financial mathematics focused on pricing options without considering the effects of counterparties' defaults, illiquidity problems, and the role of the sale and repurchase agreement (Repo)…
This work sheds some light on the relationship between a distribution's standard deviation and its range, a topic that has been discussed extensively in the literature. While many previous studies have proposed inequalities or relationships…
The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options for the variance gamma model by deriving closed-form…
Despite advances in deep probabilistic models, learning discrete latent representations remains challenging. This work introduces a novel method to improve inference in discrete Variational Autoencoders by reframing the inference problem…
Accurately evaluating the real-time flexibility of electric vehicles (EVs) is necessary for EV aggregators to offer ancillary services. However, regulation-caused uncertain state-of-charge and random departure behavior complicate the…
Public electric vehicle (EV) charging infrastructure is crucial for accelerating EV adoption and reducing transportation emissions; however, disparities in infrastructure access have raised significant equity concerns. This systematic…
Adjusting for covariates is a well established method to estimate the total causal effect of an exposure variable on an outcome of interest. Depending on the causal structure of the mechanism under study there may be different adjustment…
This paper proposes a novel electric vehicle (EV) classification scheme for a photovoltaic (PV) powered EV charging station (CS) that reduces the effect of intermittency of electricity supply as well as reducing the cost of energy trading…
Cyclic voltammetry (CV) is a powerful technique for characterizing electrochemical properties of electrochemical devices. During charging-discharging cycles, thermal effect has profound impact on its performance, but existing theoretical…
We derive exact and closed-form expressions for a large class of two-point and three-point inflation correlators with the tree-level exchange of a single massive particle. The intermediate massive particle is allowed to have arbitrary mass,…
We consider the problem of computing the Credit Value Adjustment ({CVA}) of a European option in presence of the Wrong Way Risk ({WWR}) in a default intensity setting. Namely we model the asset price evolution as solution to a linear…
In this work we present a general representation formula for the price of a vulnerable European option, and the related CVA in stochastic (either rough or not) volatility models for the underlying's price, when admitting correlation with…
We propose an online pricing mechanism for electric vehicle (EV) charging. A charging station decides prices for each arriving EV depending on the energy and the time within which the EV will be served (i.e. deadline). The user selects…