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Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price…
Complex phenomena in engineering and the sciences are often modeled with computationally intensive feed-forward simulations for which a tractable analytic likelihood does not exist. In these cases, it is sometimes necessary to estimate an…
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…
We explore the possibilities of importance sampling in the Monte Carlo pricing of a structured credit derivative referred to as Collateralized Debt Obligation (CDO). Modeling a CDO contract is challenging, since it depends on a pool of…
The seller's risk-indifference price evaluation is studied. We propose a dynamic risk-indifference pricing criteria derived from a fully-dynamic family of risk measures on the $L_p$-spaces for $p\in [1,\infty]$. The concept of fully-dynamic…
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default…
Distributed model fitting refers to the process of fitting a mathematical or statistical model to the data using distributed computing resources, such that computing tasks are divided among multiple interconnected computers or nodes, often…
Price discrimination, which refers to the strategy of setting different prices for different customer groups, has been widely used in online retailing. Although it helps boost the collected revenue for online retailers, it might create…
The computation of equilibrium prices at which the supply of goods matches their demand typically relies on complete information on agents' private attributes, e.g., suppliers' cost functions, which are often unavailable in practice.…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
Derivative-free optimization (DFO) consists in finding the best value of an objective function without relying on derivatives. To tackle such problems, one may build approximate derivatives, using for instance finite-difference estimates.…
We study the dynamic pricing problem faced by a broker seeking to learn prices for a large number of credit market securities, such as corporate bonds, government bonds, loans, and other credit-related securities. A major challenge in…
We study the problem of computing a competitive equilibrium with approximately optimal bundles in Fisher markets with separable piecewise-linear concave (SPLC) utility functions, meaning that every buyer receives a $(1-\delta)$-optimal…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…
It is well-known that a market equilibrium with uniform prices often does not exist in non-convex day-ahead electricity auctions. We consider the case of the non-convex, uniform-price Pan-European day-ahead electricity market "PCR" (Price…
We consider a nonlinear pricing environment with private information. We provide profit guarantees (and associated mechanisms) that the seller can achieve across all possible distributions of willingness to pay of the buyers. With a…
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
The existing research on market price-affecting agents, i.e. price makers, neglects or simplifies the nature of AC power flows in the power system as it predominantly relies on DC power flows. This paper proposes a novel bilevel formulation…
Constraint Programming (CP) has proved an effective paradigm to model and solve difficult combinatorial satisfaction and optimisation problems from disparate domains. Many such problems arising from the commercial world are permeated by…