Related papers: Attacks on Dynamic DeFi Interest Rate Curves
We propose a general approach to directly implement rate constraints on the discretization mesh for all collocation methods, for both state and input variables. Unlike conventional approaches that may lead to singular control arcs, the…
In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are used to calibrate stochastic interest rate models, discount…
Decentralized applications are often composed of multiple interconnected smart contracts. This is especially evident in DeFi, where protocols are heavily intertwined and rely on a variety of basic building blocks such as tokens,…
Creating a simulation of a system enables the tuning of control systems without the need for a physical system. In this paper, we employ Lagrangian Mechanics to derive a set of equations to simulate an inverted pendulum on a cart. The…
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest…
Overall, in any system, the proportional term, integral term, and derivative term combined to produce a fast response time, less overshoot, no oscillations, increased stability, and no steady-state errors. Eliminating the steady state…
Since the classical proportional-integral-derivative (PID) controller is the most widely and successfully used ones in industrial processes, it is of vital importance to investigate theoretically the rationale of this ubiquitous controller…
The goal of this thesis is to provide efficient and provably convergent numerical methods for solving partial differential equations (PDEs) coming from impulse control problems motivated by finance. Impulses, which are controlled jumps in a…
In recent years, real-world external controls have grown in popularity as a tool to empower randomized placebo-controlled trials, particularly in rare diseases or cases where balanced randomization is unethical or impractical. However, as…
The paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-regression to the functional data. Such an estimation…
With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (\euro STR)…
Access control is a fundamental component of the design of distributed ledgers, influencing many aspects of their design, such as fairness, efficiency, traditional notions of network security, and adversarial attacks such as…
The present study deals with the analysis and classification of interest rate curves. Interest rate curves (IRC) are the basic financial curves in many different fields of economics and finance. They are extremely important tools in banking…
The performance of control systems with packet loss as a result of an attack over the actuation communication channel is analysed. The operator is assumed to monitor the state of the channel by measuring the average number of packet losses…
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…
Proportional-Integral-Derivative (PID) scheme is the most commonly used algorithm for designing the controllers for unmanned aerial vehicles (UAVs). However, tuning PID gains is a non trivial task. A number of methods have been developed…
Decentralized Finance (DeFi) lending enables permissionless borrowing via smart contracts. However, it faces challenges in optimizing interest rates, mitigating bad debt, and improving capital efficiency. Rule-based interest-rate models…
Motivated by de Finetti's optimal dividend problem with capital injections, we study a stochastic control problem for the additive component of a Markov additive process (MAP). In contrast to previous studies, the modulating component is…
We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or…
The PID controller parameters can be adjusted in such a manner that it gives the desired frequency response and the results are found using the Bodes integral formula in order to adjust the slope of the nyquist curve in a desired manner.…