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We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitment (UC) problem in electricity markets, where costly…
We consider a general path-dependent version of the hedging problem with price impact of Bouchard et al. (2019), in which a dual formulation for the super-hedging price is obtained by means of PDE arguments, in a Markovian setting and under…
We consider a retailer selling a single product with limited on-hand inventory over a finite selling season. Customer demand arrives according to a Poisson process, the rate of which is influenced by a single action taken by the retailer…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
We consider the problem of optimal hedging in an incomplete market with an established pricing kernel. In such a market, prices are uniquely determined, but perfect hedges are usually not available. We work in the rather general setting of…
Matrix completion aims to estimate missing entries in a data matrix, using the assumption of a low-complexity structure (e.g., low rank) so that imputation is possible. While many effective estimation algorithms exist in the literature,…
With the rapid advancement of data science, charts have evolved from simple numerical presentation tools to essential instruments for insight discovery and decision-making support. However, current chart data intelligence exhibits…
The min-cost matching problem suffers from being very sensitive to small changes of the input. Even in a simple setting, e.g., when the costs come from the metric on the line, adding two nodes to the input might change the optimal solution…
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…
Demand response (DR) refers to change in electricity consumption pattern of customers during on-peak hours in lieu of financial gains to reduce stress on distribution systems. Existing dynamic price models have not provided adequate success…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing…
We introduce a new technique to optimize a linear cost function subject to a one-dimensional affine homogeneous quadratic integral inequality, i.e., the requirement that a homogeneous quadratic integral functional, affine in the…
In statistics and machine learning, when we train a fitted model on available data, we typically want to ensure that we are searching within a model class that contains at least one accurate model -- that is, we would like to ensure an…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
Important pricing problems in centralized matching markets -- such as carpooling, food delivery and freight shipping platforms -- often exhibit a bi-level structure. At the upper level, the platform sets prices for heterogeneous demand…
We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be…
Although many well-known algorithms can solve each bipartite matching problem instance efficiently, it remains an open question how one could estimate the expected optimal matching distance for arbitrary numbers of randomly distributed…