6 citations · 7 across the 3 of their papers we have counts for
12 papers
Continuity and sensitivity analysis of parameterized Nash games
Zachary Feinstein
In this paper we consider continuity of the set of Nash equilibria and approximate Nash equilibria for parameterized games. For parameterized games with unique Nash equilibria, the…
A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms
Maxim Bichuch, Zachary Feinstein
We consider a network of banks that optimally choose a strategy of asset liquidations and borrowing in order to cover short term obligations. The borrowing is done in the form of c…
Reanimating a Dead Economy: Financial and Economic Analysis of a Zombie Outbreak
Zachary Feinstein
In this paper, we study the financial and economic implications of a zombie epidemic on a major industrialized nation. We begin with a consideration of the epidemiological modeling…
Dynamic Set Values for Nonzero Sum Games with Multiple Equilibriums
Zachary Feinstein, Birgit Rudloff, Jianfeng Zhang
Nonzero sum games typically have multiple Nash equilibriums (or no equilibrium), and unlike the zero sum case, they may have different values at different equilibriums. Instead of…
A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field
Zachary Feinstein, Andreas Sojmark
In this work we introduce a model of default contagion that combines the approaches of Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed contagion…
Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations
Çağın Ararat, Zachary Feinstein
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynami…