Related papers: Contracting with Imperfect Commitment: Minimal Can…
The fundamental updating process in the transferable belief model is related to the concept of specialization and can be described by a specialization matrix. The degree of belief in the truth of a proposition is a degree of justified…
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…
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…
We develop a new approach to multi-label conformal prediction in which we aim to output a precise set of promising prediction candidates with a bounded number of incorrect answers. Standard conformal prediction provides the ability to adapt…
Principal-agent problems model scenarios where a principal incentivizes an agent to take costly, unobservable actions through the provision of payments. Such problems are ubiquitous in several real-world applications, ranging from…
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent…
The assignment game is a classical model for profit sharing and a cornerstone of cooperative game theory. While an imputation in its core guarantees fairness among coalitions, it provides no fairness guarantee at the level of individual…
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…
We study a new class of contract design problems where a principal delegates the execution of multiple projects to a set of agents. The principal's expected reward from each project is a combinatorial function of the agents working on it.…
Robust causal discovery from observational data under imperfect prior knowledge remains a significant and largely unresolved challenge. Existing methods typically presuppose perfect priors or can only handle specific, pre-identified error…
We study multi-agent contract design with combinatorial actions, under budget constraints, and for a broad class of objective functions, including profit (principal's utility), reward, and welfare. Our first result is a strong…
Standard procurement models assume that the buyer knows the quality of the good at the time of procurement; however, in many settings, the quality is learned only long after the transaction. We study procurement problems in which the…
Matching market models ignore prior commitments. Yet many job seekers, for example, are already employed, and the same holds for many other matching markets. I analyze two-sided matching markets with pre-existing binding agreements between…
This paper studies optimal liquidity provision for perpetual contracts when the funding rate is a stochastic state variable. The core extension to classical market making is the coupling between inventory and funding payments: inventory…
We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a perpetual reinsurance contract. The surplus process of the…
We study competitive equilibrium in the canonical Fisher market model, but with indivisible goods. In this model, every agent has a budget of artificial currency with which to purchase bundles of goods. Equilibrium prices match between…
A seller sells an object over time but is uncertain how the buyer learns their willingness-to-pay. We consider informational robustness under \textit{limited commitment}, where the seller offers a price \textit{each period} to maximize…
AI systems will soon have to navigate human environments and make decisions that affect people and other AI agents whose goals and values diverge. Contractualist alignment proposes grounding those decisions in agreements that diverse…
A minimal central bank credibility, with a non-zero probability of not renegning his commitment ("quasi-commitment"), is a necessary condition for anchoring inflation expectations and stabilizing inflation dynamics. By contrast, a complete…
We consider a critically-loaded multiclass queueing control problem with model uncertainty. The model consists of $I$ types of customers and a single server. At any time instant, a decision-maker (DM) allocates the server's effort to the…