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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...
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-...
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...
BSDEs with time-delayed generators of a moving average type with applications to pricing and utilities
backward stochastic differential equations time-delayed
2010/10/21
In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical and well-known framework with linear generators depending on $...
Dynamic Coherent Acceptability Indices and their Applications to Finance
dynamic coherent acceptability index dynamic measures of performance
2010/10/22
In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, an...
Error bounds for small jumps of Lévy processes and financial applications
Approximation of small jumps L´ evy processes Skorokhod embedding
2010/10/21
The pricing of exotic options in exponential L\'evy models amounts to the computation of expectations of functionals of the whole path of a L\'evy process. In many situations, Monte-Carlo methods are ...
A maximum principle for forward-backward stochastic Volterra integral equations and applications in finance
Forward-backward stochastic Volterra integral equations Adapted
2010/10/20
This paper formulates and studies a stochastic maximum principle for forward-backward stochastic Volterra integral equations (FBSVIEs in short), while the control area is assumed to be convex. Then a ...
Reflected Backward Stochastic Difference Equations with Finite State and their applications
BSDE RBSDE Comparison Theorem g-martingale
2010/10/18
In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Co...
Explicit solutions for the exit problem for a class of Lévy processes. Applications to the pricing of double barrier options
Explicit solutions for the exit problem class Lévy processes Applications pricing double barrier options
2010/10/19
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute ...
Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence
Superstatistical fluctuations dynamics turbulence
2010/10/29
We report a general technique to study a given experimental time series with superstatistics.
Crucial for the applicability of the superstatistics concept is the existence of a parameter β that fluct...
Stability analysis with applications of a two-dimensional dynamical system arising from a stochastic model of an asset market
Stability analysis with applications stochastic model of an asset market
2010/11/2
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess de...
A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing
discretization scheme diffusion processes
2010/12/13
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework. Mo...
On applications of the factor analysis in the agricultural research
agricultural research statistical data analysis application of multivariate statistical methods factor analysis
2014/3/20
The authors give a brief overview of the outcomes of an application of the factor analysis and present results of two applications within the agricultural research. The first application is a study in...
Modern methods of web applications analysis and design
web application methodology analysis and design
2014/3/20
This article deals with modern approaches to the web applications analysis and design. Many methodologies
specialized on web applications analysis and design have been developed, but have not reached...