Related papers: The indifference value of the weak information
In the standard single-dimensional model of position auctions, bidders agree on the relative values of the positions and each of them submits a single bid that is interpreted in terms of these values. Motivated by current practice in…
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…
An investor with constant absolute risk aversion trades a risky asset with general It\^o-dynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leading-order optimal trading policy and the…
We introduce a new information-theoretic formulation of quantum measurement uncertainty relations, based on the notion of relative entropy between measurement probabilities. In the case of a finite-dimensional system and for any approximate…
Valuation based systems verifying an idempotent property are studied. A partial order is defined between the valuations giving them a lattice structure. Then, two different strategies are introduced to represent valuations: as infimum of…
A decision maker is choosing between an active action (e.g., purchase a house, invest certain stock) and a passive action. The payoff of the active action depends on the buyer's private type and also an unknown state of nature. An…
We investigate the information distribution among different entities in the weak measurements protocol. Focusing on multilevel, decaying systems under continuous (no-click) monitoring, we derive exact, conservation-type information…
We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust framework where a set of non-dominated models is given. The…
Counterfactual explanations are emerging as an attractive option for providing recourse to individuals adversely impacted by algorithmic decisions. As they are deployed in critical applications (e.g. law enforcement, financial lending), it…
Mutual information is commonly used as a measure of similarity between competing labelings of a given set of objects, for example to quantify performance in classification and community detection tasks. As argued recently, however, the…
Prediction becomes more challenging with missing covariates. What method is chosen to handle missingness can greatly affect how models perform. In many real-world problems, the best prediction performance is achieved by models that can…
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the…
We consider a novel pricing and advertising framework, where a seller not only sets product price but also designs flexible 'advertising schemes' to influence customers' valuation of the product. We impose no structural restriction on the…
This paper develops a new divergence that generalizes relative entropy and can be used to compare probability measures without a requirement of absolute continuity. We establish properties of the divergence, and in particular derive and…
In feature-based dynamic pricing, a seller sets appropriate prices for a sequence of products (described by feature vectors) on the fly by learning from the binary outcomes of previous sales sessions ("Sold" if valuation $\geq$ price, and…
We derive a backward and forward nonlinear PDEs that govern the implied volatility of a contingent claim whenever the latter is well-defined. This would include at least any contingent claim written on a positive stock price whose payoff at…
Importance sampling approximates expectations with respect to a target measure by using samples from a proposal measure. The performance of the method over large classes of test functions depends heavily on the closeness between both…
Risk aversion and insurance are two prominent and interconnected concepts in economics and finance. To explore their fundamental connection, we introduce risk-insurance parity, which associates various classes of insurance contracts with…
If you recommend a product to me and I buy it, how much should you be paid by the seller? And if your sole interest is to maximize the amount paid to you by the seller for a sequence of recommendations, how should you recommend optimally if…
The optimal quantum measurements for estimating individual parameters might be incompatible with each other so that they cannot be jointly performed. The tradeoff between the estimation precision for different parameters can be…