For the convenience of readers of the article {\em No-arbitrage pricing under systemic risk: accounting for cross-ownership} (Fischer, 2012, arXiv:1005.0768), a full proof of Lemma A.5 and a shorter proof of Lemma A.6 of that paper are provided....
A stock loan is a loan, secured by a stock, which gives the borrower the right to redeem the stock at any time before or on the loan maturity. The way of dividends distribution has a significant effect on the pricing of the stock loan and the optim...
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It can be observed that the purchasing decision of an individual consumer in an electronic marketplace is determined by a set of factors, such as personal characteristics of the consumer, product pricing, minimum price-quantity combination offered, d...
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Pricing the reactive power is more necessary than ever before because of the increasing challenge of renewable energy integration on reactive power balance and voltage control. However, reactive power price is hard to be efficiently calculated becaus...
Advertisement (abbreviated ad) options are a recent development in online advertising. Simply, an ad option is a first look contract in which a publisher or search engine grants an advertiser a right but not obligation to enter into transactions to p...
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We consider the problem of optimal hedging in an incomplete market with an established pricing kernel. In such a market, prices are uniquely determined, but perfect hedges are usually not available. We work in the rather general setting of a Lévy-It...
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At present, electricity markets largely ignore the fact that renewable power producers impose significant externalities on non-renewable energy producers. This is because consumers are generally guaranteed electricity within certain load parameters....
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We study contextual search, a generalization of binary search in higher dimensions, which captures settings such as feature-based dynamic pricing. Standard formulations of this problem assume that agents act in accordance with a specific homogeneous...
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