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作者：Das, Sanjiv R.; Sundaram, Rangarajan K.
作者单位：Santa Clara University; New York University
摘要：We develop a model for pricing securities whose value may depend simultaneously on equity, interestrate, and default risks. The framework may also be used to extract probabilities of default (PD) functions from market data. Our approach is entirely based on observables such as equity prices and interest rates, rather than on unobservable processes such as firm value. The model stitches together in an arbitrage-free setting a constant elasticity of variance (CEV) equity model (to represent the ...
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作者：Zeithammer, Robert
作者单位：University of California System; University of California Los Angeles
摘要：This paper analyzes sequential auctioning of single units of an indivisible good to a fluctuating population composed of overlapping generations of unit-demand bidders. Two phenomena emergent in such a market are investigated: forward-looking bidding strategies, and closed-loop selling strategies that involve learning from past prices. The buyers shade their bids down, i.e., bid less than they would in a single isolated auction, whenever they expect the seller to sell another unit of the good ...
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作者：Fagart, Marie-Cecile; Sinclair-Desgagne, Bernard
作者单位：Universite de Rouen Normandie; Institut Polytechnique de Paris; Ecole Polytechnique; Universite de Montreal; HEC Montreal
摘要：This paper seeks to provide a ranking of information systems in a setting of contingent monitoring. Control strategies that make the acquisition of additional information conditional on observing certain outcomes largely elude the existing ranking criteria. We show that this happens because contingent monitoring involves more than the classical trade-off between risk sharing and incentives; it also requires a balancing of incentives and downside risk. We then develop a refinement of the most c...
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作者：Xu, Susan H.; Li, Zhaofin
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; City University of Hong Kong
摘要：We consider a multicomponent, single-product assemble-to-order (ATO) system that faces frequent, component-based technology innovations. For each component, there are two technologies with overlapping life cycles coexisting in the market. All cost parameters associated with each technology (procurement cost, salvage value, etc.) evolve dynamically. We investigate two technology-inventory coordination schemes, one is at the strategic level, where technology and inventory decisions are sequentia...
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作者：Krislma, Aradhna; Feinberg, Fred M.; Zhang, Z. John
作者单位：University of Michigan System; University of Michigan; University of Pennsylvania
摘要：Firms in many industries experience protracted periods of pricing power, the ability to successfully enact price increases. In these situations, firms must decide not only whether to raise prices, but to whom. Specifically, in a competitive context, they must determine whether it is more profitable to increase prices across-the-board or to a specific segment of their customer base. While selective price decreases are ubiquitous in practice (e.g., better deals to potential new customers by phon...
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作者：Day, Robert W.; Raghavan, S.
作者单位：University of Connecticut; University System of Maryland; University of Maryland College Park
摘要：Motivated by the increasing use of auctions by government agencies, we consider the problem of fairly pricing public goods in a combinatorial auction. A well-known problem with the incentive-compatible Vickrey-Clarke-Groves (VCG) auction mechanism is that the resulting prices may not be in the core. Loosely speaking, this means the payments of the winners could. be so low, that there are bidders who would have been willing to pay more than the payments of the winning bidders. Clearly, this unf...
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作者：Bhattacharjee, Sudip; Gopal, Ram D.; Lertwachara, Kaveepan; Marsden, James R.; Telang, Rahul
作者单位：University of Connecticut; California State University System; California Polytechnic State University San Luis Obispo; Carnegie Mellon University
摘要：Recent technological and market forces have profoundly impacted the music industry. Emphasizing threats from peer-to-peer (P2P) technologies, the industry continues to seek sanctions against individuals who offer a significant number of songs for others to copy. Combining data on the performance of music albums on the Billboard charts with file sharing data from a popular network, we assess the impact of recent developments related to the music industry on survival of music albums on the chart...
