Combinatorial exchanges have existed for a long time in securities markets. In these auctions buyers and sellers can place orders on combinations, or bundles of di¤erent securities. These orders are… (More)

We derive optimality conditions and calculate approximate solutions to the problem of determining the optimal speed of mean reversion to be applied to a Gaussian state variable. The optimality… (More)

We develop a structural model of credit risk in a network economy. In particular, we are able to account for complex counterparty relationships, where one company may be indirectly affected by the… (More)

One of the key questions in credit dependence modelling is the specfication of the copula function linking the marginals of default variables. Copulae functions are important because they allow to… (More)

In combinatorial auctions, buyers and sellers bid not only for single items but also for combinations (or “bundles,” or “baskets”) of items. Clearing the auction is in general an NP-hard problem; it… (More)

We consider two Gaussian measures. In the "initial" measure the state variable is Gaussian, with zero drift, and time-varying volatility. In the "target measure" the state variable follows an… (More)

We develop a structural model of credit risk in a network economy. In particular, we are able to account for complex counterparty relationships, where one company may be indirectly affected by the… (More)

We propose a recursive schemes to calculate backward the values of conditional expectations of functions of path values of Brownian motion. This scheme is based on the Clark-Ocone formula in discrete… (More)