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Event risk, contingent claims and the temporal resolution of uncertainty

Publications associées (42)

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Tracking and Stress-Testing U.S. Household Leverage

Andreas Fuster

Housing equity is an important component of borrowers’ wealth and a critical determinant of their vulnerability to shocks. In this article, the authors use a unique, newly created data set to analyze the evolution of household leverage—defined here as the ...

2018

The Question of Ownership in a Sharing Economy

Thomas Alois Weber

The sharing of durable goods in a dynamic ownership economy is attractive, since it has the potential to realize gains from trade via short-term transfers of usage rights. We develop a model in which a set of agents, who are heterogeneous in their likely n ...

Ieee Computer Soc2015

The Question of Ownership in a Sharing Economy

Thomas Alois Weber

IEEE Computer Society, Washington, D.C.2015

Informational Efficiency under Short Sale Constraints

Martin Larsson

A constrained informationally efficient market is defined as one in which the price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting which, desp ...

Siam Publications2015

An integrated airline scheduling, fleeting and pricing model for a monopolized market

Michel Bierlaire, Matteo Salani, Bilge Atasoy

In airline schedule planning models, the demand and price information are usually taken as inputs to the model. Therefore, schedule and capacity decisions are taken separately from pricing decisions. In this article, we present an integrated scheduling, fl ...

Wiley-Blackwell2014

Intermediation in a Sharing Economy: Insurance, Moral Hazard, and Rent Extraction

Thomas Alois Weber

Electronic intermediaries have become pervasive in sales transactions for many durables, such as cars, power tools, and apartments. Yet only recently have they successfully tackled the challenge of enabling parties to share such goods. A key impediment to ...

Routledge Journals, Taylor & Francis Ltd2014

Impact of Demand-Response on the Efficiency and Prices in Real-Time Electricity Markets

Jean-Yves Le Boudec, Dan-Cristian Tomozei, Nicolas Gabriel Gast

We study the effect of Demand-Response (DR) in dynamic real-time electricity markets. We use a two-stage market model that takes into account the dynamical aspects of generation, demand, and DR. We study the real-time market prices in two scenarios: in the ...

-2014

Impact of demand-response on the efficiency and prices in real-time electricity markets

Jean-Yves Le Boudec, Dan-Cristian Tomozei, Nicolas Gabriel Gast

ACM Press2014

The value of updated information on future price behaviour

Ralf Seifert, Shuangqing Liao

This paper studies the value of information on future price behaviour. We consider a one-period inventory modelling framework with random period length and two order opportunities. The selling price is determined dynamically and the demand is price-sensiti ...

Taylor & Francis Ltd2014

Risk and Reward Preferences under Time Pressure

Anjali Devi Vanapilli Nursimulu

Financial decision making under time pressure, though ubiquitous, is poorly understood; classical and behavioral finance are silent about the time required for a decision to be made. In an experiment, calibrating allowable decision times to 1, 3, and 5 s, ...

Oxford Univ Press2014