The emerging marketplace for online free services in which service providers earn revenue from using consumer data in direct and indirect ways has lead to significant privacy concerns. This begs understanding of the following question: can the marketplace sustain multiple service providers (SPs) that offer privacy-differentiated free services? This paper studies this problem of market segmentat...

We consider market situations with two corners. One corner consists of a single seller with one or more identical objects, and the other corner consists of buyers who all want at most one object. We suppose that the valuation of an object for the different buyers is known by all buyers. We consider two cooperative games corresponding to such a market situation. First we study properties of the ...

This paper presents and applies a methodology for valuing electricity derivatives by constructing replicating portfolios from electricity futures and the risk free asset. Futures based replication is argued to be made necessary by the non-storable nature of electricity, which rules out the traditional spot market, storage-based method of valuing commodity derivatives. Using the futures based ap...

A market is considered whose index has strongly price-dependent local volatility. A tractable parametrization of the volatility is formulated, and option valuation of a stock with two-factor dynamics is investigated. One factor is the market index; when the second factor is uncorrelated with the rst, the option valuation equation can separate. A formal solution is given for a European call. The...