arXiv research

A new pricing strategy learns customer valuations without noise distribution knowledge.

Study online pricing with contextual elasticity and heteroscedastic valuation.

New loss functions optimize pricing policies using transaction data, ensuring expected revenue guarantees.

Paper proposes a method to estimate consumer valuations from bundle sales data.

Simplifies complex pricing models for better interpretability and revenue.

The paper develops loss functions for pricing models using observational data.

Optimal pricing strategy for unknown valuation models with noisy feedback.

Firms miscount their customers who stop buying without saying goodbye.

This article prices OTC derivatives with either an exogenously determined initial margin profile or endogenously approximated initial margin. In the former case, margin valuation adjustment (MVA) is defined as the liability-side discounted expected margin profile, while in the latter, an extended partial differential e…

Motivated by the application of real-time pricing in e-commerce platforms, we consider the problem of revenue-maximization in a setting where the seller can leverage contextual information describing the customer's history and the product's type to predict her valuation of the product. However, her true valuation is un…

Paper introduces new actuarial-consistent valuations for insurance liabilities.

Paper recovers uncertainty from dynamic valuation rules.

The purpose of this study was to build a customer selection model based on 20 dimensions, including customer codes, total contribution, assets, deposit, profit, profit rate, trading volume, trading amount, turnover rate, order amount, withdraw amount, withdraw rate, process fee, process fee submitted, process fee retai…

Study convolution of invariant valuations on Lie groups.

SL(n) covariant valuations on Orlicz spaces are represented and characterized.

Market valuation duration is 175 years, but drops to 46 years during crises.

Paper simplifies default process modeling and credit valuation.

DCE learns customer embeddings from digital activity and financial context.

Business cycles affect startup valuations, both directly and indirectly.

Financial institutions use LSTM models to predict customer goals.

Customer momentum is a positive relationship between a firm's returns and past returns of its customers.

Classification of SL(n) covariant valuations on Orlicz spaces.

We prove new kinematic formulas for tensor valuations and simplify previously known Crofton formulas by using the recently developed algebraic theory of translation invariant valuations. The heart of the paper is the computation of the Alesker-Fourier transform on the large class of spherical valuations, which is achie…

Classifies contravariant matrix-valued valuations on polytopes without continuity assumptions.

Let $\mathrm{SO}^+(p,q)$ denote the identity connected component of the real orthogonal group with signature $(p,q)$. We give a complete description of the spaces of continuous and generalized translation- and $\mathrm{SO}^+(p,q)$-invariant valuations, generalizing Hadwiger's classification of Euclidean isometry-invari…

Study evaluates valuation models for UK companies using case studies.

This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure. Furthermore, we apply this valuation method to two examples of annuity products, one having annual payments linked to a mortality index and…

This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the trader's view on valuation. This is followed by Taylor series approximation for …

The classification of continuous, translation invariant Minkowski valuations which are contravariant (or covariant) with respect to the complex special linear group is established in a 2-dimensional complex vector space. Every such valuation is given by the sum of a valuation of degree of homogeneity 1 and 3. In dimens…

Computes tube formulas for valuations in complex space forms.

This paper addresses credit valuation adjustment with a new closeout convention.

Classifies SL(n) covariant matrix-valued valuations on Lp-spaces.

Existence of smooth valuations on subspaces is shown for certain conditions.

Develops a new method to study algebraic tangent cones of sheaves using valuations.

We give an explicit classification of translation-invariant, Lorentz-invariant continuous valuations on convex sets. We also classify the Lorentz-invariant even generalized valuations.

We study the properties of the multiplicative structure on valuations on convex sets. We prove a new version of the hard Lefschetz theorem for even translation invariant continuous valuations, and discuss related problems of integral geometry. Then we formulate a conjectural analogue of this result for odd valuations.

Fair market valuations ignore future worker profits in employee-owned firms.

A description of continuous rigid motion compatible Minkowski valuations is established. As an application, we present a Brunn-Minkowski type inequality for intrinsic volumes of these valuations.

We introduce the new notion of convolution of a (smooth or generalized) valuation on a group $G$ and a valuation on a manifold $M$ acted upon by the group. In the case of a transitive group action, we prove that the spaces of smooth and generalized valuations on $M$ are modules over the algebra of compactly supported g…

Paper proposes a method to aggregate customer engagement data for better ranking of e-commerce results.

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

Study uses Open Banking data to estimate customer value, showing potential 21% increase.

Enhances data valuation by integrating global and local statistical properties.

Study reveals which startup valuation factors are most critical.

In this paper, we endow the space of continuous translation invariant valuation on convex sets generated by mixed volumes coupled with a suitable Radon measure on tuples of convex bodies with two appropriate norms. This enables us to construct a continuous extension of the convolution operator on smooth valuations to n…

We study the space of generalized translation invariant valuations on a finite-dimensional vector space and construct a partial convolution which extends the convolution of smooth translation invariant valuations. Our main theorem is that McMullen's polytope algebra is a subalgebra of the (partial) convolution algebra …

In order to better engage with customers, retailers rely on extensive customer and product databases which allows them to better understand customer behaviour and purchasing patterns. This has long been a challenging task as customer modelling is a multi-faceted, noisy and time-dependent problem. The most common way to…

Market research is generally performed by surveying a representative sample of customers with questions that includes contexts such as psycho-graphics, demographics, attitude and product preferences. Survey responses are used to segment the customers into various groups that are useful for targeted marketing and commun…