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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：Shi, Guodong; Proutiere, Alexandre; Johansson, Mikael; Baras, John S.; Johansson, Karl H.
作者单位：Australian National University; Royal Institute of Technology; University System of Maryland; University of Maryland College Park
摘要：We study the evolution of opinions (or beliefs) over a social network modeled as a signed graph. The sign attached to an edge in this graph characterizes whether the corresponding individuals or end nodes are friends (positive links) or enemies (negative links). Pairs of nodes are randomly selected to interact over time, and when two nodes interact, each of them updates its opinion based on the opinion of the other node and the sign of the corresponding link. This model generalizes the DeGroot...
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作者：Zhou, Junjie; Chen, Ying-Ju
作者单位：Shanghai University of Finance & Economics; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：As various firms initially make information and access to their products/services scarce within a social network, identifying influential players emerges as a pivotal step for their success. In this paper, we tackle this problem using a stylized model that features payoff externalities and local network effects. The network designer is allowed to release information to only a subset of players (leaders); these targeted players make their contributions first and the rest (followers) move subseq...
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作者：Kim, Kyoung-Kuk; Kim, Sojung
作者单位：Korea Advanced Institute of Science & Technology (KAIST); Korea Advanced Institute of Science & Technology (KAIST)
摘要：We consider tempered stable Levy subordinators and develop a bridge sampling method. An approximate conditional probability density function (PDF) given the terminal values is derived with stable index less than one, using the double saddlepoint approximation. We then propose an acceptance-rejection algorithm based on the existing gamma bridge and the inverse Gaussian bridge as proposal densities. Its performance is comparable to existing sequential sampling methods such as Devroye (2009) [Dev...
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作者：Shah, Devavrat; Zaman, Tauhid
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We consider the problem of detecting the source of a rumor which has spread in a network using only observations about which set of nodes are infected with the rumor and with no information as to when these nodes became infected. In a recent work (Shah and Zaman 2010), this rumor source detection problem was introduced and studied. The authors proposed the graph score function rumor centrality as an estimator for detecting the source. They establish it to be the maximum likelihood estimator wi...
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作者：Goyal, Vineet; Levi, Retsef; Segev, Danny
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); University of Haifa
摘要：Assortment planning of substitutable products is a major operational issue that arises in many industries such as retailing, airlines, and consumer electronics. We consider a single-period joint assortment and inventory planning problem under dynamic substitution with stochastic demands, and provide complexity and algorithmic results as well as insightful structural characterizations of near-optimal solutions for important variants of the problem. First, we show that the assortment planning pr...
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作者：Liberopoulos, George; Andrianesis, Panagiotis
作者单位：University of Thessaly
摘要：We consider a market in which suppliers with asymmetric capacities and asymmetric marginal and fixed costs compete to satisfy a deterministic and inelastic demand of a commodity in a single period. The suppliers bid their costs to an auctioneer who determines the optimal allocation and the resulting payments, a typical situation in deregulated electricity markets. Under classical marginal-cost pricing, the nonconvexity of the total cost may result in losses for some suppliers because they may ...
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作者：Chen, Shi; Lee, Hau; Moinzadeh, Kamran
作者单位：University of Washington; University of Washington Seattle; Stanford University
摘要：We study a supply chain involving a supplier-retailer relationship. When production lead-time is long and the selling season is short, the retailer has to place an order ahead of the season, which resembles the classical Newsvendor model. However, we consider the situation when the supplier agrees to deliver the order in multiple shipments in the season, and then the retailer needs to determine the quantity and/or timing of each shipment. Under a centralized setting, we derive the optimal quan...
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作者：Hoeksma, Ruben; Uetz, Marc
作者单位：Universidad de Chile; University of Twente
摘要：We study the design of mechanisms for a sequencing problem where the types of job-agents consist of processing times and waiting costs that are private to the jobs. In the Bayes-Nash setting, we seek to find a sequencing rule and incentive compatible payments that minimize the total expected payments that have to be made to the agents. It is known that the problem can be efficiently solved when jobs have single-dimensional types. Here, we address the problem with two-dimensional types. We show...
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作者：Amini, Hamed; Filipovic, Damir; Minca, Andreea
作者单位：University of Miami; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Cornell University
摘要：We show that partial versus full multilateral netting of interbank liabilities increases bank shortfall and reduces clearing asset price and aggregate bank surplus. We also show that partial multilateral netting can be worse than no netting at all.
