We study optimal pricing strategies and consequent market shares' dynamics in a transition from an old and established technology to a new one. We simulate an agentbased model, in which a large population of possible buyers decide whether to adopt or not depending on prices, private signals and...

The objective of this paper is to provide an analytical framework to study the whole process of diffusion of innovations, new products or ideas: we take into account knowledge transfer in a complex society, decisional process for adoption and key features in the spread of new technologies. For...

In the context of diffusion of innovations, we propose a probabilistic model based on interacting populations connected through new communication channels. The potential adopters are heterogeneous in the connectivity levels and in their taste for innovation. The proposed framework can model the...

Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit portfolio. Applying a large deviation principle we...

We analyze a class of dynamic binary choice models with social interaction. Agents are heterogeneous and their degree of conformism (taste externality) changes over time endogenously. We show that social interaction in itself is not enough to observe multiple equilibria and that the equilibrium...

We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the idiosyncratic characteristics of the firms. We shall see...

We propose an approximate static hedging procedure for multivariate derivatives. The hedging portfolio is composed of statically held simple univariate options, optimally weighted minimizing the variance of the difference between the target claim and the approximate replicating portfolio. The...