Related papers: DeFi Liquidation Risk Modeling Using Geometric Bro…
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…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
As is known, an option price is a solution to a certain partial differential equation (PDE) with terminal conditions (payoff functions). There is a close association between the solution of PDE and the solution of a backward stochastic…
The fractional Brownian motion (fBm) extends the standard Brownian motion by introducing some dependence between non-overlapping increments. Consequently, if one considers for example that log-prices follow an fBm, one can exploit the…
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…
The number of attacks and accidents leading to significant losses of crypto-assets is growing. According to Chainalysis, in 2021, approx. $14 billion has been lost due to various incidents, and this number is dominated by Decentralized…
Decentralized Finance (DeFi) has reshaped the possibilities of reserve banking in the form of the Collateralized Debt Position (CDP). Key to the safety of CDPs is the money supply architecture that enables issued debt to maintain its value.…
This paper proposes to model asset price dynamics with a mixture of diffusion processes where the instantaneous volatility of the underlying diffusion process contains a random vector. The marginal probability distributions of the proposed…
Decentralized Finance (DeFi) is reshaping traditional finance by enabling direct transactions without intermediaries, creating a rich source of open financial data. Layer 2 (L2) solutions are emerging to enhance the scalability and…
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…
We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the solution of each…
In this paper, we obtain the existence and finite-time blow-up for the solution to a system of semilinear stochastic partial differential equations driven by a combination of Brownian and fractional Brownian motions. Under suitable…
We explore the adoption of graph representation learning (GRL) algorithms to investigate similarities across services offered by Decentralized Finance (DeFi) protocols. Following existing literature, we use Ethereum transaction data to…
Recently emerging Decentralized Finance (DeFi) takes the promise of cryptocurrencies a step further, leveraging their decentralized networks to transform traditional financial products into trustless and transparent protocols that run…
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter…
Modeling financial data often relies on assumptions that may prove insufficient or unrealistic in practice. The Geometric Brownian Motion (GBM) model is frequently employed to represent stock price processes. This study investigates whether…
In this paper, we show the existence of unique Malliavin differentiable solutions to SDE`s driven by a fractional Brownian motion with Hurst parameter H<1/2 and singular, unbounded drift vector fields, for which we also prove a stability…
Decentralized Finance (DeFi) is increasingly studied and adopted for its potential to provide accessible and transparent financial services. Analyzing how investors use DeFi is important for reaching a better understanding of their usage…
This paper studies the optimal liquidation of stocks in the presence of temporary and permanent price impacts, and we focus in the case of cryptocurrencies. We start by presenting analytical solutions to the problem with linear temporary…
We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressive enlargement of a default-free Brownian filtration, and the…