The search session has expired. Please query the service again.
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...
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.
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.
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.
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...
Currently displaying 1 –
10 of
10