Related papers: Pricing and hedging of decentralised lending contr…
We present the first formal treatment of \emph{yield tokenization}, a mechanism that decomposes yield-bearing assets into principal and yield components to facilitate risk transfer and price discovery in decentralized finance (DeFi). We…
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…
Decentralized applications (DApps) face significant security risks due to vulnerabilities in smart contracts, with traditional detection methods struggling to address emerging and machine-unauditable flaws. This paper proposes a novel…
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…
Lending protocols in decentralized finance enable the permissionless exchange of capital from lenders to borrowers without relying on a trusted third party for clearing or market-making. Interest rates are set by the supply and demand of…
Distributed Ledger Technology (DLT) is promising to become the foundation of many decentralised systems. However, the unbalanced and unregulated network layout contributes to the inefficiency of DLT especially in the Internet of Things…
We propose a deep learning approach to study the minimal variance pricing and hedging problem in an incomplete jump diffusion market. It is based upon a rigorous stochastic calculus derivation of the optimal hedging portfolio, optimal…
In peer-to-peer (P2P) energy trading, a secured infrastructure is required to manage trade and record monetary transactions. A central server/authority can be used for this. But there is a risk of central authority influencing the energy…
The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…
Agent-based solutions lend themselves well to address privacy concerns and the computational scalability needs of future distributed electric grids and end-use energy exchanges. Decentralized decision-making methods are the key to enabling…
This paper maps the emerging market for decentralized credit in which ERC 4626 vaults and third-party curators, rather than monolithic lending protocols alone, increasingly determine underwriting and leverage decisions. We show that modular…
This paper studies the equal risk pricing (ERP) framework for the valuation of European financial derivatives. This option pricing approach is consistent with global trading strategies by setting the premium as the value such that the…
We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…
Time-bound stablecoins are DeFi assets that temporarily tokenize traditional securities during market off-hours, enabling continuous cross-market liquidity. We introduce the Liquidity-of-Time Premium (TLP): the extra return or cost of…
Decentralized Exchanges (DEXs) are new types of marketplaces leveraging Blockchain technology. They allow users to trade assets with Automatic Market Makers (AMM), using funds provided by liquidity providers, removing the need for order…
In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, a…
We present an experimental study of decentralized two-sided matching markets with no transfers. Experimental participants are informed of everyone's preferences and can make arbitrary non-binding match offers that get finalized when a…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…