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The current crisis, at the time of writing, has had a profound impact on the financial world, introducing the need for creative approaches to revitalising the economy at the micro level as well as the macro level. In this informal analysis…
This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is…
We present cryptocurrency-based lottery protocols that do not require any collateral from the players. Previous protocols for this task required a security deposit that is $O(N^2)$ times larger than the bet amount, where $N$ is the number…
Liquidity providers are currently incentivised to provide liquidity through the LP Incentives Programme on dYdX. Based on the various parameters - makerVolume, depths and spreads, they are rewarded accordingly based on their activities.…
Decentralized Finance (DeFi), in which digital assets are exchanged without trusted intermediaries, has grown rapidly in value in recent years. The global DeFi ecosystem is fragmented into multiple blockchains, fueling the demand for…
We propose Data Tumbling Layer (DTL), a cryptographic scheme for non-interactive data tumbling. The core concept is to enable users to commit to specific data and subsequently re-use to the encrypted version of these data across different…
Inherent in the world of cryptocurrency systems and their security models is the notion that private keys, and thus assets, are controlled by individuals or individual entities. We present Liquefaction, a wallet platform that demonstrates…
The scalability limitations of public blockchains have hindered their widespread adoption in real-world applications. While the Ethereum community is pushing forward in zk-rollup (zero-knowledge rollup) solutions, such as introducing the…
This research introduces the Decentralized Finance (DeFi) TrustBoost Framework, which combines blockchain technology and Explainable AI to address challenges faced by lenders underwriting small business loan applications from low-wealth…
The Proof of Efficient Liquidity (PoEL) protocol, designed for specialised Proof of Stake (PoS) consensus-based blockchains that incorporate intrinsic DeFi applications, aims to support sustainable liquidity bootstrapping and network…
Debt recycling is a leveraged equity management strategy in which homeowners use accumulated home equity to finance investments, applying the resulting returns to accelerate mortgage repayment. We propose a novel framework to model equity…
This article analytically characterizes the impermanent loss of concentrated liquidity provision for automatic market makers in decentralised markets such as Uniswap. We propose two static replication formulas for the impermanent loss by a…
This paper examines the dividend and investment policies of a cash constrained firm that has access to costly external funding. We depart from the literature by allowing the firm to issue collateralized debt to increase its investment in…
CDS (credit default swap) contracts that were initiated some time ago frequently have spreads and/or maturities that are not available on the current market of CDSs, and are thus illiquid. This article introduces an incomplete-market…
We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery…
We study the economic viability of liquidity provision in decentralised exchanges (DEXs) within a structural framework in which market outcomes are endogenous. We formulate strategic interactions as a sequential game: a risk-averse…
Auto-deleveraging (ADL) mechanisms are a critical yet understudied component of risk management on cryptocurrency futures exchanges. When available margin and other loss-absorbing resources are insufficient to cover losses following large…
We present a scalable architecture for electronic retail payments via central bank digital currency and offer a solution to the perceived conflict between robust regulatory oversight and consumer affordances such as privacy and control. Our…
Decentralized Finance (DeFi) services are moving traditional financial operations to the Internet of Value (IOV) by exploiting smart contracts, distributed ledgers, and clever heterogeneous transactions among different protocols. The…
We propose a scheme to preserve the anonymity of users in proof-of-asset transactions. We assume bitcoin-like cryptocurrency systems in which a user must prove the strength of its assets (i.e., solvency), prior conducting further…