Related papers: Perfectly Fitting CDO Prices Across Tranches: A Th…
Automated Market Makers (AMMs) are a central component of decentralized exchanges, yet their equilibrium foundations and microeconomic mechanisms remain incompletely understood. This paper develops a dynamic equilibrium framework for…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
Matching plays a vital role in the rational allocation of resources in many areas, ranging from market operation to people's daily lives. In economics, the term matching theory is coined for pairing two agents in a specific market to reach…
In this paper we present a rigorously motivated pricing equation for derivatives, including general cash collateralization schemes, which is consistent with quoted market bond prices. Traditionally, there have been differences in how…
While the accuracy-fairness trade-off has been frequently observed in the literature of fair machine learning, rigorous theoretical analyses have been scarce. To demystify this long-standing challenge, this work seeks to develop a…
Deep Learning (DL) has been widely adopted in diverse industrial domains, including autonomous driving, intelligent healthcare, and aided programming. Like traditional software, DL systems are also prone to faults, whose malfunctioning may…
We study resource allocation in two-sided markets from a fundamental perspective and introduce a general modeling and algorithmic framework to effectively incorporate the complex and multidimensional aspects of fairness. Our main technical…
We analyze sources of error in prediction market forecasts in order to bound the difference between a security's price and the ground truth it estimates. We consider cost-function-based prediction markets in which an automated market maker…
Asynchronous trading in high-frequency financial markets introduces significant biases into econometric analysis, distorting risk estimates and leading to suboptimal portfolio decisions. Existing synchronization methods, such as the…
According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…
We introduce a new framework for optimal routing and arbitrage in AMM driven markets. This framework improves on the original best-practice convex optimization by restricting the search to the boundary of the optimal space. We can…
In continuous-choice settings, consumers decide not only on whether to purchase a product, but also on how much to purchase. Thus, firms optimize a full price schedule rather than a single price point. This paper provides a methodology to…
In many operational settings, decision-makers must commit to actions before uncertainty resolves, but existing optimization tools rarely quantify how consistently a chosen decision remains optimal across plausible scenarios. This paper…
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…
We consider the problem of finding a continuous and non-rigid matching between a 2D contour and a 3D mesh. While such problems can be solved to global optimality by finding a shortest path in the product graph between both shapes, existing…
We compare the profit of the optimal third-degree price discrimination policy against a uniform pricing policy. A uniform pricing policy offers the same price to all segments of the market. Our main result establishes that for a broad class…
This paper develops a model-free framework for static fixed-income pricing and the replication of liability cash flows. We show that the absence of static arbitrage across a universe of fixed-income instruments is equivalent to the…
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…
Scientific and engineering verticals often suffer from data scarcity and strict executability requirements: models must generate not only fluent text, but also syntactically valid, tool-compilable scripts. We present a schema-first…
We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a heterogeneous pool of names. Our main tool is a large-deviations analysis which allows us to precisely…