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Good News and Bad News:Representation Theorems and Applications
Good News Bad News Theorems and Applications
2015/7/21
Good News and Bad News: Representation Theorems and Applications.
DESIGNING RANDOM ALLOCATION MECHANISMS:THEORY AND APPLICATIONS
Market Design Random Assignment Birkhoff-von Neumann Theorem Probabilistic Serial Pseudo-Market Utility Guarantee Assignment Messages
2015/7/21
Randomization is a common feature of everyday resource allocation. We generalize the theory of randomized assignment to accommodate various real-world constraints such as group-specific quotas (“contr...
Equilibrium Selection in Multi-Player Games with Auction Applications
Auction Applications Equilibrium Selection
2015/7/21
We introduce two new equilibrium renements for nite normal
form games, both of which incorporate the intuitive idea that a costless
deviation by one player is more likely than a costly deviation b...
Competition between Multiple Asymmetric Networks: Theory and Applications
Multiple Asymmetric Networks tariffs
2014/11/27
We present a tractable model of competition between an arbitrary number of interconnected communications networks in the presence of tariff-mediated network externalities, call externalities, and cost...
Small time central limit theorems for semimartingales with applications
Small time central limit theorems semimartingale applications
2012/9/17
We give conditions under which the normalized marginal distri-bution of a semimartingale converges to a Gaussian limit law as time tends to zero. In particular, our result is applicable to solutions o...
Applications of Complex Systems in Business and Economy
Applications Complex Systems Business and Economy
2012/9/14
In this paper the complex systems are discussed from the business and economics point of view. It will be showed and motivated that social systems are typically chaotic and/or non-linear and therefore...
Second Order BSDEs with Jumps, Part II: Existence and Applications
Second order backward stochastic differential equation backward stochas-tic differential equation with jumps
2012/9/14
In this paper, we follow the study of second order BSDEs with jumps started in our accompanying paper [17]. We prove existence of these equations bya direct method,thus providing complete wellposednes...
Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models
Time-Changed Ornstein-Uhlenbeck Processes Commodity Derivative Models Pricing of Securities
2012/4/28
This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by L\'{e}vy subordinators. We construct their sample path decomposition, show that they possess mean-...
The New Resource Economics: Old Ideas and New Applications: Discussion
environmental economics natural resource polices
2011/10/24
Comments on the articles by Terry Anderson and Zach Willey from the December 1982 issue of the 'American Journal of Agricultural Economics' regarding environmental economics. Factors which affect the ...
The New Resource Economics: Old Ideas and New Applications
resource economics public choice resource economics paradigm
2011/10/5
Discusses the elements of new resource economics (NRE) paradigm. Details of the old NRE paradigm; Integration of property rights, public choice and Austrian economics with the old resource economics p...
Opportunities for Sustainable Low Carbon Energy Research Development and Applications
Renewable Energy Technologies Energy Efficiency Sustainable Development Emissions Environment
2013/2/25
People to rely upon oil for primary energy and this for a few more decades. Other conventional sources may be more enduring, but are not without serious disadvantages. The renewable energy resources a...
Applications of a constrained mechanics methodology in economics
economics constrained mechanics methodology vakonomic approaches
2011/7/5
The paper presents instructive interdisciplinary applications of con-
strained mechanics calculus in economics on a level appropriate for the undergraduate
physics education.
Utility based pricing and hedging of jump diffusion processes with a view to applications
pricing hedging of jump diffusion processes marginal optimal hedge
2011/7/4
We discuss utility based pricing and hedging of jump diusion pro-
cesses with emphasis on the practical applicability of the framework. We
point out two diculties that seem to limit this applicabi...
Root's Barrier: Construction, Optimality and Applications to Variance Options
Construction Optimality Applications Variance Options Pricing of Securities
2011/7/25
Abstract: Recent work of Dupire (2005) and Carr & Lee (2010) has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root (1969) for the model-independent hedgin...
Convex order properties of discrete realized variance and applications to variance options
independent increments increasing convex order discretely sampled
2011/3/30
We consider a square-integrable semimartingale with conditionally independent increments and symmetric jump measure, and show that its discrete realized variance dominates its quadratic variation in i...