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We consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an approach, based on the conic finance paradigm, that allows to…
Recently, Decentralized Finance (DeFi) platforms on Ethereum are booming, and numerous traders are trying to capitalize on the opportunity for maximizing their benefits by launching front-running attacks and extracting Miner Extractable…
For centuries, financial institutions have responded to liquidity challenges by forming closed, centralized clearing clubs with strict rules and membership that allow them to collaborate on using the least money to discharge the most debt.…
We derive a "semi-analytic" solution for a stock loan in which the lender forces liquidation when the loan-to-collateral ratio drops beneath a certain threshold. We use this to study the sensitivity of the contract to model parameters.
Decentralized Finance (DeFi), a blockchain powered peer-to-peer financial system, is mushrooming. Two years ago the total value locked in DeFi systems was approximately 700m USD, now, as of April 2022, it stands at around 150bn USD. The…
While online interactions and exchanges have grown exponentially over the past decade, most commercial infrastructures still operate through centralized protocols, and their success essentially depends on trust between different economic…
Open technologies, decentralized computation and intelligent applications enable the third-generation web, Web 3.0, thereby digitizing whole industries. The emerging Economy of Things (EoT) will be based on software agents running on…
Financial markets are undergoing an unprecedented transformation. Technological advances have brought major improvements to the operations of financial services. While these advances promote improved accessibility and convenience,…
Decentralized Finance (DeFi) smart contracts manage billions of dollars, making them a prime target for exploits. Price manipulation vulnerabilities, often via flash loans, are a devastating class of attacks causing significant financial…
Blockchain technology has spawned a vast ecosystem of digital currencies with Central Bank Digital Currencies (CBDCs) -- digital forms of fiat currency -- being one of them. An important feature of digital currencies is facilitating…
In this paper, we propose a fully decentralized and smart contract-based insurance protocol. We identify various issues in the Decentralized Finance (DeFi) insurance context and propose a solution to overcome these shortcomings. We…
The transition of Ethereum from a Proof-of-Work (PoW) to a Proof-of-Stake (PoS) consensus mechanism introduces a transformative approach to blockchain validation, offering enhanced scalability, energy efficiency, and security. However, this…
Autodeleveraging (ADL) is a last-resort loss socialization mechanism for perpetual futures venues. It is triggered when solvency-preserving liquidations fail. Despite the dominance of perpetual futures in the crypto derivatives market, with…
Designed to compete with fiat currencies, bitcoin proposes it is a crypto-currency alternative. Bitcoin makes a number of false claims, including: solving the double-spending problem is a good thing; bitcoin can be a reserve currency for…
NuLink provides privacy-preserving technology for decentralized applications via APIs. Users can securely store its valuable data, trade with others and so on. To ensure the privacy and security of service provided by NuLink,…
Decentralized Finance (DeFi) money markets have seen explosive growth in recent years, with billions of dollars borrowed in various cryptocurrency assets. Key to the safety of money markets is the implementation of interest rates that…
JUBILEE is a securely computed mechanism for debt relief and forgiveness in a frictionless manner without involving trusted third parties, leading to more harmonious debt settlements by incentivising the parties to truthfully reveal their…
Decentralized exchanges (DEXes) have evolved dramatically since the introduction of Automated Market Makers (AMMs). In recent years, solver-based protocols have emerged as an alternative venue aiming to introduce competition for routing,…
This paper describes a new but state-of-the-art approach to provide authenticity in mqtt sessions using the means of zero-knowledge-proofs. This approach completely voids session hijacking for the mqtt protocol and provides authenticity…
Price stability has often been cited as a key reason that cryptocurrencies have not gained widespread adoption as a medium of exchange and continue to prove incapable of powering the economy of decentralized applications (DApps)…