arXiv research

Doubly fair dynamic pricing ensures equal prices for different groups over time.

This paper addresses dynamic price discrimination with fairness constraints.

Paper develops a fair pricing algorithm for dynamic settings with uncertain demand.

We develop a theory which applies to any market dynamics that satisfy a fair market assumption on the nullity of the average profit of simple market making strategies. We show that for any such fair market, there exists a martingale fair price which corresponds to the average liquidation value (at the ask or the bid) o…

The paper addresses fairness in dynamic pricing for strategic buyers.

The paper examines fair pricing and hedging stability under small numéraire perturbations.

The paper studies fairness in multi-stage selection problems and introduces a method to compute fair selections.

Exact solution found for k-price auctions, introducing a new fair auction type.

Unified framework for fair pricing in long-term insurance products.

Unfair pricing policies have been shown to be one of the most negative perceptions customers can have concerning pricing, and may result in long-term losses for a company. Despite the fact that dynamic pricing models help companies maximize revenue, fairness and equality should be taken into account in order to avoid u…

The study tackles indirect discrimination in insurance pricing models.

A novel multi-objective optimization framework improves insurance pricing fairness.

A new pricing model reduces bias in insurance premiums.

The paper explores fairness, welfare, and equity in personalized pricing across various applications.

We formalize financial concepts and prove Cox-Ross-Rubinstein model completeness.

Study provides error estimates for approximating game options with diffusion asset prices.

Proposes a fair pricing framework insensitive to protected covariates.

Extends micro-price concept to RFQ markets for fair pricing.

Our previous results are extended to the case of the margin account, which may depend on the contract's value for the hedger and/or the counterparty. The present work generalizes also the papers by Bergman (1995), Mercurio (2013) and Piterbarg (2010). Using the comparison theorems for BSDEs, we derive inequalities for …

The QLBS model is enhanced with a large trader's impact, leading to optimal hedging strategies.

A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is derived and several properties of this index are shown. In particular, it is proven…

Paper develops methods for fair insurance pricing without direct access to sensitive attributes.

We introduce a flexible family of fairness regularizers for (linear and logistic) regression problems. These regularizers all enjoy convexity, permitting fast optimization, and they span the rang from notions of group fairness to strong individual fairness. By varying the weight on the fairness regularizer, we can comp…

Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this paper, we examine the pricing and hedging of contract both from the perspective of the hedger and the counterparty with arbitrary initial end…

This paper deals with applications of coherent risk measures to pricing in incomplete markets. Namely, we study the No Good Deals pricing technique based on coherent risk. Two forms of this technique are presented: one defines a good deal as a trade with negative risk; the other one defines a good deal as a trade with …

Our goal here is to discuss the pricing problem of European and American options in discrete time using elementary calculus so as to be an easy reference for first year undergraduate students. Using the binomial model we compute the fair price of European and American options. We explain the notion of Arbitrage and the…

Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this paper, we examine the pricing and hedging of contract both from the perspective of the hedger and the counterparty with arbitrary initial end…

Abstract reviews mathematical fairness in machine learning.

New rule-based method for classification with scalability, interpretability, and fairness.

Modeling insider trading with transaction costs and fair pricing.

New pricing theory solves St. Petersburg paradox.

The paper introduces a new price model based on entropy that better fits high-frequency market data.

New fairness criterion aims to reduce financial harm to certain groups.

Develops framework for valuing and assessing risk of renewable PPAs.

Study aims to measure and mitigate biases in motor insurance pricing.

Pareto optimal centralized risk sharing with multiple agents

A framework for fair derivative contract pricing and risk-sharing between parties with funding differences.

We investigate the relation between the fair price for European-style vanilla options and the distribution of short-term returns on the underlying asset ignoring transaction and other costs. We compute the risk-neutral probability density conditional on the total variance of the asset's returns when the option expires.…

Deep learning method for fair derivative pricing.

This paper optimizes revenue and resource balance in network revenue management.

In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the given information. A further problem is that asset prices are typically expressed…

The paper studies martingales and super-martingales under a convex set of measures.

Study market impact using hedging derivatives to explain market behavior.

This paper tackles fair online decision-making in contextual bandits, achieving optimal performance and fairness.

This paper optimizes crypto portfolios and valuates crypto options.

This article presents FVA and CVA of a bilateral derivative in a coherent manner, based on recent developments in fair value accounting and ISDA standards. We argue that a derivative liability, after primary risk factors being hedged, resembles in economics an issued variable funding note, and should be priced at the m…

We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions (improving Broadie and Jain (2008a) in the case of the Heston model). We give condi…

The paper explores the tradeoff between fairness and accuracy in regression models.