This paper studies congestion management based on congestion pricing as may be done by an Independent System Operator. Four main concepts are discussed: congestion pricing can lead to the same solution as an Optimal Power Flow, pricing need not have cost information available, good estimates of nonlinear cost coefficients are necessary, and pricing for congestion management is separable from pr...

This paper analyses the question of the complementarity between income taxation and non linear pricing of public services in a general equilibrium framework with labour heterogeneity. The public service is viewed as a screening device which is supposed to use non linear pricing. In this framework, we show that even in general equilibrium and with labour heterogeneity, it is useful to supplement...

This paper presents a location-inventory-pricing model for designing the distribution network of a supply chain with price-sensitive demands and inventory-capacity constraints. The supply chain has market power and uses markup pricing. An efficient Lagrangian relaxation algorithm is proposed to solve the model. Our numerical study shows that by moderately increasing the number of possible value...

We address the algorithmic complexity of a profit maximization problem in capacitated, undirected networks. We are asked to price a set of m capacitated network links to serve a set of n potential customers. Each customer is interested in purchasing a network connection that is specified by a simple path in the network and has a maximum budget that we assume to be known to the seller. The goal ...

We consider the problem of finding equilibrium asset prices in a financial market in which a portfolio manager (Agent) invests on behalf of an investor (Principal), who compensates the manager with an optimal contract. We extend a model from Buffa, Vayanos and Woolley (2014), BVW (2014), by allowing general contracts. We find that the optimal contract rewards Agent for taking specific risk of i...

This paper proposes a consistent approach to discrete time valuation in insurance and finance. This approach uses the growth optimal portfolio as reference unit or benchmark. When used as benchmark, it is shown that all benchmarked price processes are supermartingales. Benchmarked fair price processes are characterized as martingales. No measure transformation is needed for the fair pricing of ...

In this paper, the Lie group analysis method is applied to the geometric average Asian option pricing equation in financial problems. Firstly, the complete Lie symmetry group and infinitesimal generators of this equation are derived. Then the optimal system with one parameter for the Lie symmetry algebra are obtained, which gives the possibility to describe a complete set of invariant solutions...

Predatory pricing law attempts to keep prices low by harshly sanctioning prices that are anticompetitively low. The paradox of predatory pricing law is that even an analytically perfect specification of the line between predatory and innocent price cuts would result in deviations from optimal pricing because the very recognition of a predatory pricing offense will induce some firms to forgo inn...

Customer behavior modeling has gained increasing attention in the context of dynamic pricing. As an important behavior phenomenon, consumer inertia refers to consumers’ inherent tendency of purchase procrastination and may induce consumers to wait even when immediate purchase is optimal from an objective perspective. This paper studies a dynamic pricing problem for a monopolist firm selling per...

We study a dynamic pricing problem with finite inventory and parametric uncertainty on the demand distribution. Products are sold during selling seasons of finite length, and inventory that is unsold at the end of a selling season, perishes. The goal of the seller is to determine a pricing strategy that maximizes the expected revenue. Inference on the unknown parameters is made by maximum likel...