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Wider coverage and a better solution to a latency reduction in 5G necessitate its combination with multi-access edge computing (MEC) technology. Decentralized deep learning (DDL) such as federated learning and swarm learning as a promising…
Locational Marginal Price (LMP) is a dual variable associated with supply-demand matching and represents the cost of delivering power to a particular location if the load at that location increases. In recent times it become more volatile…
This paper introduces a novel methodology for the pricing and management of share buyback contracts, overcoming the limitations of traditional optimal control methods, which frequently encounter difficulties with high-dimensional state…
Language data are increasingly acquired and governed as assets, yet platforms often price candidate resources before knowing their true privacy or access costs. We study online pricing for governed language data assets under cost…
In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs. The optimal strategy is determined by minimizing an appropriate loss function, which…
In this paper we study the pricing and hedging of nonreplicable contingent claims, such as long-term insurance contracts like variable annuities. Our approach is based on the benchmark-neutral pricing framework of Platen (2024), which…
In this paper, we propose a fully decentralized and smart contract-based insurance protocol. We identify various issues in the Decentralized Finance (DeFi) insurance context and propose a solution to overcome these shortcomings. We…
In this article, we address a class of non convex, integer, non linear mathematical programs using dynamic programming. The mathematical program considered, whose properties are studied in this article, may be used to model the optimal…
In [1] Zawadoski introduces a banking network model in which the asset and counter-party risks are treated separately and the banks hedge their assets risks by appropriate OTC contracts. In his model, each bank has only two counter-party…
We study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk…
Option pricing is a significant problem for option risk management and trading. In this article, we utilize a framework to present financial data from different sources. The data is processed and represented in a form of 2D tensors in three…
We investigate the use of path signatures in a machine learning context for hedging exotic derivatives under non-Markovian stochastic volatility models. In a deep learning setting, we use signatures as features in feedforward neural…
This paper considers the pricing of long-term options on assets such as housing, where either government intervention or the economic nature of the asset is assumed to limit large falls in prices. The observed asset price is modelled by a…
Recent technologies such as inter-ledger payments, non-fungible tokens, and smart contracts are all fruited from the ongoing development of Distributed Ledger Technologies. The foreseen trend is that they will play an increasingly visible…
An important issue in today's electricity markets is the management of flexibilities offered by new practices, such as smart home appliances or electric vehicles. By inducing changes in the behavior of residential electric utilities, demand…
Hashed Timelock (HTLC)-based atomic swap protocols enable the exchange of coins between two or more parties without relying on a trusted entity. This protocol is like the American call option without premium. It allows the finalization of a…
Nowadays, a significant share of the Business-to-Consumer sector is based on online platforms like Amazon and Alibaba and uses Artificial Intelligence for pricing strategies. This has sparked debate on whether pricing algorithms may tacitly…
With the rapid development of Large Language Models (LLMs), a large number of benchmarks have been proposed. However, most benchmarks lack unified evaluation standard and require the manual implementation of custom scripts, making results…
Financial markets are undergoing an unprecedented transformation. Technological advances have brought major improvements to the operations of financial services. While these advances promote improved accessibility and convenience,…
Contract design involves a principal who establishes contractual agreements about payments for outcomes that arise from the actions of an agent. In this paper, we initiate the study of deep learning for the automated design of optimal…