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A continuous optimization model for a joint problem of pricing and resource allocation

Mustapha Bouhtou, Guillaume Erbs (2009)

RAIRO - Operations Research

This paper investigates the problem of maximizing the revenue of a telecommunications operator by simultaneously pricing point-to-point services and allocating bandwidth in its network, while facing competition. Customers are distributed into market segments, i.e., groups of customers with a similar preference for the services. This preference is expressed using utility functions, and customers choose between the offers of the operator and of the competition according to their utility. We model...

An equilibrium model for electricity auctions

Juri Hinz (2003)

Applicationes Mathematicae

This work discusses the process of price formation for electrical energy within an auction-like trading environment. Calculating optimal bid strategies of power producers by equilibrium arguments, we obtain the corresponding electricity price and estimate its tail behavior.

Analytical approximation of the transition density in a local volatility model

Stefano Pagliarani, Andrea Pascucci (2012)

Open Mathematics

We present a simplified approach to the analytical approximation of the transition density related to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic volatility models, degenerate parabolic PDEs related to Asian options and also to include jumps.

Arbitrage for simple strategies

Agnieszka Rygiel, Łukasz Stettner (2012)

Applicationes Mathematicae

Various aspects of arbitrage on finite horizon continuous time markets using simple strategies consisting of a finite number of transactions are studied. Special attention is devoted to transactions without shortselling, in which we are not allowed to borrow assets. The markets without or with proportional transaction costs are considered. Necessary and sufficient conditions for absence of arbitrage are shown.

Auctions with Untrustworthy Bidders

Braynov, Sviatoslav, Pavlov, Radoslav (2007)

Serdica Journal of Computing

The paper analyzes auctions which are not completely enforceable. In such auctions, economic agents may fail to carry out their obligations, and parties involved cannot rely on external enforcement or control mechanisms for backing up a transaction. We propose two mechanisms that make bidders directly or indirectly reveal their trustworthiness. The first mechanism is based on discriminating bidding schedules that separate trustworthy from untrustworthy bidders. The second mechanism is a generalization of...

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