We study a dynamic model of asset pricing which is driven by two characteristic market features: the law of investor demand (e.g. ’buy low, sell high’) and the law of the market institution (which codifies the trading rules under which the market operates). We demonstrate in a simple investor-specialist trading market that these features are sufficient to guarantee an equilibrium where investor...

It seems more and more that we live in a society afraid of everything, where everything can be considered as risk taking. This feeling of uncertainty and fear leads many individuals to manifest a great interest for safety. In the context of a risky society, the requirement for insurances is becoming more and more pronounced, the main concerns of the insureds being the guarantee of financial saf...

Over the years, quality of service (QoS) has attracted attention from researchers. How to guarantee QoS to customers despite the rapid change of the network status is the main concern. Pricing provides an effective economic means of congestion control and revenue generation. We examine pricing as an effective strategy for revenue management in DiffServ networks. In this paper, we propose an auc...

The optimal contract design for cloud computing service with resource guarantee under the consideration of resource redundancy and network externality is studied in this research. A model in which a service provider determines joint pricing and resource allocation decisions is constructed by proposing two types of contracts with different service-level agreements (SLAs). The SLA of each contrac...

When an insurance company sells a mutual fund with death and maturity guarantees to its client, it may consider allowing the client to extend the guarantee for some more years. If the renewal only happens once, a so-called rollover option is implied in the contract. In this paper, we show how the generalized Bermudan option can be applied to the special case of the rollover option. By avoiding ...

We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent to the existence of a collection of strictly consistent price systems.

The earlier 2007/2008 financial crisis generated the main lessons for monetary policy, notably that price stability does not necessarily guarantee financial stability. Nevertheless, the on-going Eurozone crisis has pointed to further lessons, notably that a single currency covering diverse states does need a Banking Union; and to problems of zero risk-weighting for sovereign debts. Without such...