Related papers: Pricing Model for Data Assets in Investment-Consum…

We study the problem when a firm sets prices for products based on the transaction data, i.e., which product past customers chose from an assortment and what were the historical prices that they observed. Our approach does not impose a…

This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…

We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions. We obtain…

This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random…

"Data" is becoming an indispensable production factor, just like land, infrastructure, labor or capital. As part of this, a myriad of applications in different sectors require huge amounts of information to feed models and algorithms…

We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…

We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We…

As data plays an increasingly pivotal role in decision-making, the emergence of data markets underscores the growing importance of data valuation. Within the machine learning landscape, Data Shapley stands out as a widely embraced method…

We provide simple models for the utility function (or psychology) of an actor trading a multitude of goods for money. In this framework, money has no intrinsic consumption value, but is required as a medium of exchange. A collection of such…

This paper analyzes the role of money in asset markets characterized by search frictions. We develop a dynamic framework that brings together a model for illiquid financial assets `a la Duffie, Garleanu, and Pedersen, and a search-theoretic…

We consider a scenario where a seller possesses a dataset $D$ and trains it into models of varying accuracies for sale in the market. Due to the reproducibility of data, the dataset can be reused to train models with different accuracies,…

An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…

The Artificial Intelligence paradigm (hereinafter referred to as "AI") builds on the analysis of data able, among other things, to snap pictures of the individuals' behaviors and preferences. Such data represent the most valuable currency…

A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not…

We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations,…

Existing approaches to asset-pricing under model-uncertainty adapt classical utility-maximization frameworks and seek theoretical comprehensiveness. We move toward practice by considering binary model-risks and by emphasizing 'constraints'…

We study a market for private data in which a data analyst publicly releases a statistic over a database of private information. Individuals that own the data incur a cost for their loss of privacy proportional to the differential privacy…

This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe…

Selling a perfectly divisible item to potential buyers is a fundamental task with apparent applications to pricing communication bandwidth and cloud computing services. Surprisingly, despite the rich literature on single-item auctions,…

Since there is, in principle, no reason why third parties should not pay individuals for the use of their data, we introduce a realistic market that would allow these payments to be made while taking into account the privacy attitude of the…