Related papers: Dynamic choices, temporal invariance and variation…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…
There is a consensus that human and non-human subjects experience temporal distortions in many stages of their perceptual and decision-making systems. Similarly, intertemporal choice research has shown that decision-makers undervalue future…
Solutions of boundary value problems for a diffusion equation of fractional and variable order in differential and difference settings are studied. It is shown that the method of energy inequalities is applicable to obtaining a priori…
The uncertainty quantification and risk modeling are hot topics in the operation and planning of energy systems. The system operators and planners are decision-makers that need to handle the uncertainty of input data of their models. As an…
The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utility values it is necessary to establish an analogy between…
We explore the effect of discounting and experimentation in a simple model of interacting adaptive agents. Agents belong to either of two types and each has to decide whether to participate a game or not, the game being profitable when…
In the evolving landscape of digital commerce, adaptive dynamic pricing strategies are essential for gaining a competitive edge. This paper introduces novel {\em doubly nonparametric random utility models} that eschew traditional parametric…
In this paper, we study the dynamic assortment optimization problem under a finite selling season of length $T$. At each time period, the seller offers an arriving customer an assortment of substitutable products under a cardinality…
We introduce a Loss Discounting Framework for model and forecast combination which generalises and combines Bayesian model synthesis and generalized Bayes methodologies. We use a loss function to score the performance of different models…
A group of experts, for instance climate scientists, is to choose among two policies $f$ and $g$. Consider the following decision rule. If all experts agree that the expected utility of $f$ is higher than the expected utility of $g$, the…
We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…
In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the…
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…
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
Energy markets with retail choice enable customers to switch energy plans among competitive retail suppliers. Despite the promising benefits of more affordable prices and better savings to customers, there appears subsided participation in…
We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…
This work is motivated by our collaboration with a large consumer packaged goods (CPG) company. We have found that while the company appreciates the advantages of dynamic pricing, they deem it operationally much easier to plan out a static…
In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the…
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a…