相关论文: Behavioural and Dynamical Scenarios for Contingent…

Rating systems play a vital role in the exponential growth of service-oriented markets. As highly rated online services usually receive substantial revenue in the markets, malicious sellers seek to boost their service evaluation by…

The competitive nature of Cloud marketplaces as new concerns in delivery of services makes the pricing policies a crucial task for firms. so that, pricing strategies has recently attracted many researchers. Since game theory can handle such…

In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…

We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…

We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the…

We address the challenging problem of dynamically pricing complementary items that are sequentially displayed to customers. An illustrative example is the online sale of flight tickets, where customers navigate through multiple web pages.…

A monopoly platform sells either a risky product (with unknown utility) or a safe product (with known utility) to agents who sequentially arrive and learn the utility of the risky product by the reporting of previous agents. It is costly…

We describe an algorithm for computing best response strategies in a class of two-player infinite games of incomplete information, defined by payoffs piecewise linear in agents' types and actions, conditional on linear comparisons of…

This paper analyzes the equilibrium of insurance market in a dynamic setting, focusing on the interaction between insurers' underwriting and investment strategies. Three possible equilibrium outcomes are identified: a positive insurance…

In an incomplete continuous-time securities market with uncertainty generated by Brownian motions, we derive closed-form solutions for the equilibrium interest rate and market price of risk processes. The economy has a finite number of…

We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…

We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…

We suggest a new approach to creation of general market equilibrium models involving economic agents with local and partial knowledge about the system and under different restrictions. The market equilibrium problem is then formulated as a…

We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…

We provide a framework to study stability notions for two-sided dynamic matching markets in which matching is one-to-one and irreversible. The framework gives center stage to the set of matchings an agent anticipates would ensue should they…

Bidding in simultaneous auctions is challenging because an agent's value for a good in one auction may depend on the uncertain outcome of other auctions: the so-called exposure problem. Given the gap in understanding of general simultaneous…

We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…

We study utility indifference prices and optimal purchasing quantities for a non-traded contingent claim in an incomplete semi-martingale market with vanishing hedging errors. We make connections with the theory of large deviations. We…

We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing problem, which is our…

We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…