142 citations · 280 across the 34 of their papers we have counts for
5 papers · 1 filter
Characterizing and Computing the Set of Nash Equilibria via Vector Optimization
Zachary Feinstein, Birgit Rudloff
Nash equilibria and Pareto optimality are two distinct concepts when dealing with multiple criteria. It is well known that the two concepts do not coincide. However, in this work w…
Decentralized Payment Clearing using Blockchain and Optimal Bidding
Hamed Amini, Maxim Bichuch, Zachary Feinstein
In this paper, we construct a decentralized clearing mechanism which endogenously and automatically provides a claims resolution procedure. This mechanism can be used to clear a ne…
Contagious McKean-Vlasov systems with heterogeneous impact and exposure
Zachary Feinstein, Andreas Sojmark
We introduce a heterogeneous formulation of a contagious McKean-Vlasov system, whose inherent heterogeneity comes from asymmetric interactions with a natural and highly tractable s…
Set-Valued Dynamic Risk Measures for Processes and Vectors
Yanhong Chen, Zachary Feinstein
The relationship between set-valued risk measures for processes and vectors on the optional filtration is investigated. The equivalence of risk measures for processes and vectors a…
Clearing prices under margin calls and the short squeeze
Zachary Feinstein
In this paper, we propose a clearing model for prices in a financial markets due to margin calls on short sold assets. In doing so, we construct an explicit formulation for the pri…