A communication tree is a binomial tree embedded in a hypercube, whose communication direction is from its leaves to its root. If a problem to be solved is first divided into independent subproblems, then each subproblem can be solved by one of the hypercube processors, and all the subresults can be merged into the final results through tree communication. This paper uses two random search tech...

This PhD dissertation mainly focuses on the information processing of financial markets. It consists in five different contributions. The first three of them focus on the econometrics of asset pricing models. (1) First, I propose a new methodology to estimate the subjective distribution implicit in interest rate futures. I show how to use it to investigate the market participants’ perception of...

The contract is described and market examples given. Essential theoretical developments are introduced and cited chronologically. The principles and techniques of hedging and unique pricing are illustrated for the two simplest nontrivial examples: the classical Black-Scholes/Merton/Margrabe exchange option model brought somewhat upto-date from its form three decades ago, and a lesser exponentia...

We study European options on the ratio of the stock price to its average and viceversa. Some of these options are traded in the Australian Stock Exchange since 1992, thus we call them Australian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use different approximations that produce very similar results.

We consider a discretionary stopping problem that arises in the context of pricing a class of perpetual American-type call options, which include the perpetual American, Russian and lookback-American call options as special cases. We solve this genuinely two-dimensional optimal stopping problem by means of an explicit construction of its value function. In particular, we fully characterise the ...

This paper analyzes bilateral contracting in an environment with contractual incompleteness and asymmetric information. One party (the seller) makes an unverifiable quality choice and the other party (the buyer) has private information about its valuation. A simple deterministic exit option contract, which allows the buyer to refuse trade, achieves the first–best in the benchmark cases where ei...

Swing options are the main type of volumetric contracts in commodity markets. A swing contract gives the holder the right (but not the obligation) to adjust volume of received commodity at her discretion. Unlike paper assets, trading in physical commodities often takes place over time and therefore involves volume as a second key state variable. Often consumption rates of the commodity are unpr...