Related papers: Mitigating Decentralized Finance Liquidations with…
I develop a tractable adverse-selection model comparing secured bank loans and bonds when both pledge collateral but differ in effective liquidation efficiency. A small wedge in recovery rates generates coexistence, a sharp bank-bond…
Despite the de-facto technological uniformity fostered by the cloud and edge computing paradigms, resource fragmentation across isolated clusters hinders the dynamism in application placement, leading to suboptimal performance and…
BIP70 is the Bitcoin payment protocol for communication between a merchant and a pseudonymous customer. McCorry et al. (FC~2016) showed that BIP70 is prone to refund attacks and proposed a fix that requires the customer to sign their refund…
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…
Decentralized perpetuals protocols have collectively reached billions of dollars of daily trading volume, yet are still not serious competitors on the basis of trading volume with centralized venues such as Binance. One of the main reasons…
Iterative algorithms are instrumental in modern numerical simulation for solving systems arising from the discretization of PDEs. They face however significant challenges in industrial applications, such as slow convergence, limit cycle…
The goal of decompilation is to convert compiled low-level code (e.g., assembly code) back into high-level programming languages, enabling analysis in scenarios where source code is unavailable. This task supports various reverse…
Cryptocurrency lending pools are services that allow lenders to pool together assets in one cryptocurrency and loan it out to borrowers who provide collateral worth more (than the loan) in a separate cryptocurrency. Borrowers can repay…
We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impulse control formulations by allowing (i) the controller to…
Everlasting options, a relatively new class of perpetual financial derivatives, have emerged to tackle the challenges of rolling contracts and liquidity fragmentation in decentralized finance markets. This paper offers an in-depth analysis…
Atomic swaps enable the transfer of value between the cryptocurrencies of various blockchains without the need to trust an intermediary. In this paper, we propose the concept of atomic loans, which utilize atomic swap technology to allow…
This paper studies the ubiquitous problem of liquidating large quantities of highly correlated stocks, a task frequently encountered by institutional investors and proprietary trading firms. Traditional methods in this setting suffer from…
The main result of this paper is a collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debit valuation adjustments (CVA, DVA) along with margining and funding…
Cross-chain interoperability is a core component of modern blockchain infrastructure, enabling seamless asset transfers and composable applications across multiple blockchain ecosystems. However, the transparency of cross-chain messages can…
Permissionless distributed ledgers provide a promising approach to deal with the Internet of Things (IoT) paradigm. Since IoT devices mostly generate data transactions and micropayments, distributed ledgers that use fees to regulate the…
In recent years, there is an emerging trend that some computing services are moving from cloud to the edge of the networks. Compared to cloud computing, edge computing can provide services with faster response, lower expense, and more…
Mixed integer predictive control deals with optimizing integer and real control variables over a receding horizon. The mixed integer nature of controls might be a cause of intractability for instances of larger dimensions. To tackle this…
In decentralized non-custodial micropayments, the central challenge is not whether payments can be executed directly, but under what conditions such systems can offer credit limits without requiring full collateral backing. Existing…
In this work, we introduce the private, anonymous, collateralizable commitments (PACCs) framework. PACCs allow any smart contract wallet holder to collateralize a claim, request, or commitment in general, in a private and anonymous manner.…
Stablecoins face an unresolved trilemma of balancing decentralization, stability, and regulatory compliance. We present a hybrid stabilization protocol that combines crypto-collateralized reserves, algorithmic futures contracts, and…