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Price Determination in Public Procurement: A Game Theory Approach
Award procedure Bid price Game theory Public procurement
2016/1/27
The article examines mechanism of bid price determination in public procurement by individual tenderers. A game theory approach is used to analyse this process. Firstly, a simple model with two firms ...
On break-even correlation: the way to price structured credit derivatives by replication
CDO replication Gaussian Copula structural models
2012/4/28
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consis...
BSDEs in Utility Maximization with BMO Market Price of Risk
BSDEs BMO Market Price of Risk
2011/7/20
This article studies quadratic semimartingale BSDEs arising in power utility maximization
when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sucient condi...