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Quadratic Core-Selecting Payment Rules for Combinatorial Auctions
games group decisions bidding: auctions
2015/9/18
We report on the use of a quadratic programming technique in recent and upcoming spectrum auctions in Europe. Specifically, we compute a unique point in the core that minimizes the sum of squared devi...
Quadratic BSDEs with Jumps and Related Non-linear Expectations: a Fixed-point Approach
BSDEs quadratic growth jumps non-linear Doob-Meyer decomposition dy-namical risk measures inf-convolution.
2012/9/17
We prove the existence of bounded solutions of quadratic backward SDEs with jumps, using a direct fixed point approach as in Tevzadze [35]. Under an additional standard assumption, we prove a uniquene...
On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory
investment analysis mean-variance analysis parameter uncertainty interval estimation test theory.
2012/9/14
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-var...
A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
multi-period asset allocation quadratic utility function closed-form solution tan-gency portfolio
2012/9/14
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under we...
Numerical methods for the quadratic hedging problem in Markov models with jumps
Quadratic hedging Hamilton-Jacobi-Bellman equation Markov jump processes Par-tial integro-di erential equation Holder spaces electricity markets discretization schemes for PIDE.
2012/9/14
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value f...
Results on numerics for FBSDE with drivers of quadratic growth
backward stochastic differential equation BSDE forwardbackward
2010/10/19
We consider the problem of numerical approximation for forward-backward stochastic differential equations with drivers of quadratic growth (qgFBSDE). To illustrate the significance of qgFBSDE, we disc...
Credit risk premia and quadratic BSDEs with a single jump
Backward Stochastic Differential Equations (BSDE) defaultable contingent claims progressive enlargement of filtrations utility maximization
2010/11/1
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles.Assuming exponential utility preferences we derive r...
Results on numerics for FBSDE with drivers of quadratic growth
backward stochastic differential equation BSDE forward-backward stochastic differential equation
2010/4/28
We consider the problem of numerical approximation for forward-backward stochastic differential equations with drivers of quadratic growth (qgFBSDE). To illustrate the significance of qgFBSDE, we disc...
Differentiability of quadratic BSDEs generated by continuous martingales
Forward Backward Stochastic Differential Equation driven by continuous martingale quadratic growth Markov property BMO martingale
2010/11/1
In this paper we consider a class of BSDEs with drivers of quadratic growth, on a
stochastic basis generated by continuous local martingales. We first derive the Markov
property of a forward-backwar...