Tuning one's shower in some hotels may turn into a challenging coordination game with imperfect information. The temperature sensitivity increases with the number of agents, making the problem possibly unlearnable. Because there is in practice a finite number of possible tap positions, identical...

This paper proposes a new explanation for the smile and skewness effects in implied volatilities. Starting from a microeconomic equilibrium approach, we develop a diffusion model for stock prices explicitly incorporating the technical demand induced by hedging strategies. This leads to a...

Let X be a seminmartingale and Teta the space of all predictable X-integrable processes teta such that integral tetat dX is inthe space S square of semimartingales. We consider the problem of approximating a given random variable H element of L square (P) by the sum of a constant c and a...

We study the problem of convergence of discrete-time option values to continuous-time option values. While previous papers typically concentrate on the approximation of geometric Brownian motion by a binomial tree, we consider here the case where the model is incomplete in both continuos and...