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We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…
We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and jump-diffusion dynamics. As the MOL, as with any other…
This study develops and analyzes an optimization model of smart contract adoption under bounded risk, linking structural theory with simulation and real-world validation. We examine how adoption intensity alpha is structurally pinned at a…
The design of integrated mobility-on-demand services requires jointly considering the interactions between traveler choice behavior and operators' operation policies to design a financially sustainable pricing scheme. However, most existing…
Firms that price perishable resources -- airline seats, hotel rooms, seasonal inventory -- now routinely use demand predictions, but these predictions vary widely in quality. Under hard capacity constraints, acting on an inaccurate…
Opportunities such as higher education can promote intergenerational mobility, leading individuals to achieve levels of socioeconomic status above that of their parents. We develop a dynamic model for allocating such opportunities in a…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…
This paper studies dynamic asset allocation with interest rate risk and several sources of ambiguity. The market consists of a risk-free asset, a zero-coupon bond (both determined by a Vasicek model), and a stock. There is ambiguity about…
In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…
We formalize an allocation model under ordinal preferences that is more general than the well-studied Shapley-Scarf housing market. In our model, the agents do not just care which house or resource they get but also care about who gets…
Decision making under uncertain environments in the maximization of expected reward while minimizing its risk is one of the ubiquitous problems in many subjects. Here, we introduce a novel problem setting in stochastic bandit optimization…
Understanding human mobility is important for the development of intelligent mobile service robots as it can provide prior knowledge and predictions of human distribution for robot-assisted activities. In this paper, we propose a…
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponential type in a stochastic factor model allowing for a possible…
When an individual purchases a home, they simultaneously purchase its structural features, its accessibility to work, and the neighborhood amenities. Some amenities, such as air quality, are measurable while others, such as the prestige or…
Issues such as urban sprawl, congestion, oil dependence, climate change and public health, are prompting urban and transportation planners to turn to land use and urban design to rein in automobile use. One of the implicit beliefs in this…
The collateral choice option allows a collateral-posting party the opportunity to change the type of security in which the collateral is deposited. Due to non-zero collateral basis spreads, this optionality significantly impacts asset…
Heterogeneity of many building materials complicates numerical modelling of structural behaviour. The material randomicity can be manifested by different values of material parameters of each material specimen. To capture inherent…
In developing countries, building codes often are outdated or not enforced. As a result, a large portion of the housing stock is substandard and vulnerable to natural hazards and climate related events. Assessing housing quality is key to…
Balancing safety and efficiency when planning in crowded scenarios with uncertain dynamics is challenging where it is imperative to accomplish the robot's mission without incurring any safety violations. Typically, chance constraints are…