相关论文: Semi-static completeness and robust pricing by inf…

A fundamental economic question is that of designing revenue-maximizing mechanisms in dynamic environments. This paper considers a simple yet compelling market model to tackle this question, where forward-looking buyers arrive at the market…

Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…

In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…

We formalize in the proof assistant Isabelle essential basic notions and results in financial mathematics. We provide generic formal definitions of concepts such as markets, portfolios, derivative products, arbitrages or fair prices, and we…

Existing approaches to asset-pricing under model-uncertainty adapt classical utility-maximization frameworks and seek theoretical comprehensiveness. We move toward practice by considering binary model-risks and by emphasizing 'constraints'…

We consider the dynamics of a smart grid system characterized by widespread distributed generation and storage devices. We assume that agents are free to trade electric energy over the network and we focus on the emerging market dynamics.…

Motivated by the application of real-time pricing in e-commerce platforms, we consider the problem of revenue-maximization in a setting where the seller can leverage contextual information describing the customer's history and the product's…

Component substitution has numerous practical applications and constitutes an active research topic. This paper proposes to enrich an existing component-based framework--a model with dynamic reconfigurations making the system evolve--with a…

It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model, like the Heston model (SVI method) or the SABR model (SABR…

We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inferred) Brownian motion to a general multidimensional…

We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…

Expanding the ideas of the author's paper 'Nonexpansive maps and option pricing theory' (Kibernetica 34:6 (1998), 713-724) we develop a pure game-theoretic approach to option pricing, by-passing stochastic modeling. Risk neutral…

Financial markets are often modelled as if time were unique and continuous across assets and markets. Financial markets are however asynchronous, order flow is event-driven, and waiting times between events are often random. Many of the…

We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…

A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow…

This paper introduces a novel robust trading paradigm, called \textit{multi-double linear policies}, situated within a \textit{generalized} lattice market. Distinctively, our framework departs from most existing robust trading strategies,…

"Fundamental theorem of asset pricing" roughly states that absence of arbitrage opportunity in a market is equivalent to the existence of a risk-neutral probability. We give a simple counterexample to this oversimplified statement. Prices…

In this paper, we develop a new method for finding an optimal biddingstrategy in sequential auctions, using a dynamic programming technique. Theexisting method assumes that the utility of a user is represented in anadditive form. Thus, the…

We study superreplication of European contingent claims in discrete time in a large trader model with market indifference prices recently proposed by Bank and Kramkov. We introduce a suitable notion of efficient friction in this framework,…

Many robotic systems require extended deployments in complex, dynamic environments. In such deployments, parts of the environment may change between subsequent robot observations. Most robotic mapping or environment modeling algorithms are…