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» Small transaction cost asymptotics and dynamic hedging
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EOR
2008
45views more  EOR 2008»
14 years 9 months ago
Small transaction cost asymptotics and dynamic hedging
Claudio Albanese, Stathis Tompaidis
FS
2010
148views more  FS 2010»
14 years 8 months ago
Option hedging for small investors under liquidity costs
Following the framework of C¸etin, Jarrow and Protter [4] we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of th...
Umut Çetin, H. Mete Soner, Nizar Touzi
WWW
2008
ACM
15 years 10 months ago
Dynamic cost-per-action mechanisms and applications to online advertising
We study the Cost-Per-Action or Cost-Per-Acquisition (CPA) charging scheme in online advertising. In this scheme, instead of paying per click, the advertisers pay only when a user...
Hamid Nazerzadeh, Amin Saberi, Rakesh Vohra
STACS
1997
Springer
15 years 1 months ago
Methods and Applications of (MAX, +) Linear Algebra
Exotic semirings such as the “(max, +) semiring” (R ∪ {−∞}, max, +), or the “tropical semiring” (N ∪ {+∞}, min, +), have been invented and reinvented many times s...
Stephane Gaubert, Max Plus
CPM
2008
Springer
134views Combinatorics» more  CPM 2008»
14 years 11 months ago
An Improved Succinct Representation for Dynamic k-ary Trees
Abstract. k-ary trees are a fundamental data structure in many textprocessing algorithms (e.g., text searching). The traditional pointer-based representation of trees is space cons...
Diego Arroyuelo