The growing number of auction sites on the internet enable game theorists to ask strategic questions on rationality of the observed bidding behavior. The most popular of them (eBay, Amazon.com, AuctionWatch.com and Yahoo!, etc.) operate under similar sets of rules with seemingly small...

We develop a powerful and user-friendly program for numerically solving first price auction problems where an arbitrary number of bidders draw independent valuations from heterogenous distributions and the auctioneer imposes a reserve price for the object. The heterogeneity in this model arises...

This paper investigates private-value `reserve price' auctions when there is a strong bidder in an n-bidder model. Consider an auction model, in which bidders draw their values from the same distribution, but then identity of the high-value bidder is revealed. This can be more plausible than the...

In the past decades, the amount of worldwide security transactions that was processed by electronic trading platforms increased significantly. In this paper we develop a theoretical framework for the pricing of limit orders of the Electronic Security Trading System Xetra operated by the German...

Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contained derivatives instruments. In this paper, we postpone to estimate both the expected shortfall and Value-at-Risk of a...

Within the independent private-values paradigm, we derive the data-generating process of the winning bid for the last unit sold at multi-unit, sequential English auctions when bidder valuations are draws from different distributions; i.e., in the presence of asymmetries. When the identity of the...

Online Escrow is emerging as an effective services to secure online trades in C2C Internet auctions. An online escrow service provider acts as a middle man in the exchange of goods and payment to protect tradersÌ benefit from Internet fraud. The ongoing research presented in this paper is to...

This paper explores how the introduction of Rational Inattention (RI) affects optimal consumption and portfolio rules and asset pricing in the consumption-based CAPM framework. I first solve an otherwise standard portfolio choice and asset pricing model with RI explicitly and show that RI can...