We propose a functional formulation of Nash equilibrium based on the optimization approach: the set of Nash equilibria, if it is nonempty, is identical to the set of optimizers of a real-valued function. Combining this characterization with lattice theory, we revisit the interchangeability and...

In this paper we apply a general model of one-sided and two-sided platform businesses to a collusive framework which we model as joint profit maximization. We have a particular interest in how the social loss and other metrics depend on the strength of the network (direct or indirect) effect. We...

We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with taking into account a common general price predicting...

A fundamental problem faced by firms is that of product line design: given a set of candidate products that may be offered to a collection of customers, what subset of those products should be offered so as to maximize the profit that is realized when customers make purchases according to their...

We present a stochastic dynamic model of the adjustment of betting odds by bookmakers in a horse-racing betting market. We use optimal stopping theory in a two-horse benchmark model with both informed and noise punters. A costly learning process discloses what information the informed traders...

Spanish Abstract: Al enseñar los modelos de equilibrio general los libros de texto de microeconomía se centran en las ideas que se pueden extraer del diagrama de Edgeworth para el intercambio. Las herramientas necesarias para analizar matemáticamente los modelos de equilibrio general abruman...

Detailed numerical models of power markets with millions of variables and equations are often perceived as black boxes, because differences in results cannot be traced back to single equations or assumptions, respectively. We unravel parts of those black box by determining the impact of...

As information technology improves rapidly and becomes more accessible, it becomes much easier for consumers to gather product in-formation and spend more time thinking about how to get the most out of their budget constraints. This means that consumers are getting “smarter” and more...

This paper introduces a general continuous-time mathematical framework for solution of dynamic mean-variance control problems. We obtain theoretical results for two classes of functionals: the first one depends on the whole trajectory of the controlled process and the second one is based on its...

We study the optimal design of financial structured portfolios (equity or index linked notes) within the utility with ambiguity framework. We analyze some of these products with respect to investor's attitude towards risk, including ambiguity. These financial products usually involve derivative...