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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...
Optimal multiple stopping with random waiting times
Optimal multiple stopping swing options random waiting times
2012/6/4
In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length $\delta$, the so called refraction period. ...
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at whi...
Toy Model for Large Non-Symmetric Random Matrices
Singular Values Rectangular RandomMatrices Free Random Matrix Theory
2010/10/20
Non-symmetric rectangular correlation matrices occur in many problems in economics. We test the method of extracting statistically meaningful correlations between input and output variables of large ...
Asymptotics of Random Contractions
Random contractions random scaling Conditional Tail Expectation
2010/10/21
In this paper we discuss the asymptotic behaviour of random contractions $X=RS$, where $R$, with distribution function $F$, is a positive random variable independent of $S\in (0,1)$. Random contracti...
Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
Market Price Risk Random Field Driven Models Term Structure
2010/10/20
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models rest...
Forecasting volatility with the multifractal random walk model
Forecasting volatility the multifractal random walk model
2010/12/13
We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limit...