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作者：Glasserman, Paul; Moallemi, Ciamac C.; Yuan, Kai
作者单位：Columbia University
摘要：Regulatory changes are transforming the multitrillion dollar swaps market from a network of bilateral contracts to one in which swaps are cleared through central counterparties (CCPs). The stability of the new framework depends on the CCPs' resilience. Margin requirements are a CCP's first line of defense against the default of a counterparty. To capture liquidity costs at default, margin requirements need to increase superlinearly in position size. However, convex margin requirements create a...
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作者：Cont, Rama; Duffie, Darrell; Glasserman, Paul; Rogers, Chris; Vega-Redondo, Fernando
作者单位：Imperial College London; Stanford University; Columbia University; University of Cambridge; Bocconi University
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作者：Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio
作者单位：Universita Ca Foscari Venezia; City St Georges, University of London; Scuola Normale Superiore di Pisa
摘要：By exploiting basic common practice accounting and risk-management rules, we propose a simple analytical dynamical model to investigate the effects of microprudential changes on macroprudential outcomes. Specifically, we study the consequence of the introduction of a financial innovation that allows reducing the cost of portfolio diversification in a financial system populated by financial institutions having capital requirements in the form of value-at-risk (VaR) constraint and following stan...
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作者：Kley, Oliver; Klueppelberg, Claudia; Reinert, Gesine
作者单位：Technical University of Munich; University of Oxford
摘要：We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Paretotailed claims and multivariate regular variation we obtain asymptotic results for the value-at-risk and the conditional tail expectation. We show that the dependence on the network structure plays a fundamental role in their asymptotic behaviour. As is well known in a nonnetwork setting, if the Pareto exponent is larger than 1, then for the individual agent (reinsurance company...
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作者：Vossen, Thomas W. M.; Wood, R. Kevin; Newman, Alexandra M.
作者单位：University of Colorado System; University of Colorado Boulder; United States Department of Defense; United States Navy; Naval Postgraduate School; Colorado School of Mines
摘要：The open-pit mine block sequencing problem (OPBS) models a deposit of ore and surrounding material near the Earth's surface as a three-dimensional grid of blocks. A solution in discretized time identifies a profit-maximizing extraction (mining) schedule for the blocks. Our model variant, a mixed-integer program (MIP), presumes a predetermined destination for each extracted block, namely, processing plant or waste dump. The MIP incorporates standard constructs but also adds not-so-standard lowe...
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作者：Gao, Lin; Shou, Biying; Chen, Ying-Ju; Huang, Jianwei
作者单位：Harbin Institute of Technology; City University of Hong Kong; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology; Chinese University of Hong Kong
摘要：Dynamic spectrum access is a new paradigm of secondary spectrum utilization and sharing. It allows unlicensed secondary users (SUs) to exploit the opportunistically underutilized licensed spectrum. Market mechanism is a widely used promising means to regulate the consuming behaviours of users and, hence, achieve the efficient allocation and consumption of limited resources. In this paper, we propose and study a hybrid secondary spectrum market consisting of both the futures market and the spot...
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作者：Kelly, Frank; Key, Peter; Walton, Neil
作者单位：University of Cambridge; Microsoft; Microsoft United Kingdom; University of Manchester
摘要：We develop a framework for the analysis of large-scale ad auctions where adverts are assigned over a continuum of search types. For this pay-per-click market, we provide an efficient mechanism that maximizes social welfare. In particular, we show that the social welfare optimization can be solved in separate optimizations conducted on the time scales relevant to the search platform and advertisers. Here, on each search occurrence, the platform solves an assignment problem and, on a slower time...
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作者：Giallombardo, Giovanni; Jiang, Houyuan; Miglionico, Giovanna
作者单位：University of Calabria; University of Cambridge
摘要：We consider the conflict-resolution problem arising in the allocation of commercial advertisements to television program breaks. Because of the competition-avoidance requirements issued by advertisers, broadcasters aim to allocate any pairs of commercials promoting highly conflicting products to different breaks. Hence, the problem consists of assigning commercials to breaks, subject to time capacity constraints, with the aim of maximizing a total measure of the conflicts among commercials ass...
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作者：Haugh, Martin; Iyengar, Garud; Wang, Chun
作者单位：Columbia University
摘要：We consider dynamic asset allocation problems where the agent is required to pay capital gains taxes on her investment gains. These are very challenging problems because the tax owed whenever a security is sold depends on the cost basis, and this results in high-dimensional problems, which cannot be solved exactly except in the case of very stylized problems with just one or two securities and relatively few time periods. In this paper, we focus on exact and average cost-basis problems, make t...
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作者：Delasay, Mohammad; Ingolfsson, Armann; Kolfal, Bora
作者单位：Carnegie Mellon University; University of Alberta
摘要：Servers in many real queueing systems do not work at a constant speed. They adapt to the system state by speeding up when the system is highly loaded or slowing down when load has been high for an extended time period. Their speed can also be constrained by other factors, such as geography or a downstream blockage. We develop a state-dependent queueing model in which the service rate depends on the system load and overwork. Overwork refers to a situation where the system has been under a heavy...
