Related papers: Split the Yield, Share the Risk: Pricing, Hedging …
This paper presents a novel staking coopetition design aimed at incentivizing decentralization and continuous growth of economic security within a proof-of-stake system. Staking rewards follow a nonlinear mapping relative to stake size.…
Global financial crime activity is driving demand for machine learning solutions in fraud prevention. However, prevention systems are commonly serviced to financial institutions in isolation, and few provisions exist for data sharing due to…
The present paper considers leveraging network topology information to improve the convergence rate of ADMM for decentralized optimization, where networked nodes work collaboratively to minimize the objective. Such problems can be solved…
With the rapid development of Large Language Models (LLMs), a large number of benchmarks have been proposed. However, most benchmarks lack unified evaluation standard and require the manual implementation of custom scripts, making results…
Uniswap is a Constant Product Market Maker built around liquidity pools, where pairs of tokens are exchanged subject to a fee that is proportional to the size of transactions. At the time of writing, there exist more than 6,000 pools…
We construct a binomial model for a guaranteed minimum withdrawal benefit (GMWB) rider to a variable annuity (VA) under optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded…
The emergence of distributed systems has revolutionized the financial technology (Fintech) landscape, offering unprecedented opportunities for enhancing security, scalability, and efficiency in financial operations. This paper explores the…
We present a robust Deep Hedging framework for the pricing and hedging of option portfolios that significantly improves training efficiency and model robustness. In particular, we propose a neural model for training model embeddings which…
In incomplete financial markets, pricing and hedging European options lack a unique no-arbitrage solution due to unhedgeable risks. This paper introduces a constrained deep learning approach to determine option prices and hedging strategies…
Diffusion models have shown remarkable success in text-to-image generation, making preference alignment for these models increasingly important. The preference labels are typically available only at the terminal of denoising trajectories,…
Many sequential decision-making tasks require satisfaction of multiple, partially contradictory objectives. Existing approaches are monolithic, namely all objectives are fulfilled using a single policy, which is a function that selects a…
Decentralized Finance (DeFi) platforms are often governed by Decentralized Autonomous Organizations (DAOs) which are implemented via governance protocols. Governance tokens are distributed to users of the platform, granting them voting…
Catalyzed by the popularity of blockchain technology, there has recently been a renewed interest in the design, implementation and evaluation of decentralized systems. Most of these systems are intended to be deployed at scale and in…
The advent of Federated Learning (FL) has ignited a new paradigm for parallel and confidential decentralized Machine Learning (ML) with the potential of utilizing the computational power of a vast number of IoT, mobile and edge devices…
Credit allows a lender to loan out surplus capital to a borrower. In the traditional economy, credit bears the risk that the borrower may default on its debt, the lender hence requires upfront collateral from the borrower, plus interest fee…
In this paper, we study the exponential utility indifference pricing of pure endowment policies within a stochastic-factor model for an insurer who also invests in a financial market. Our framework incorporates a hazard rate modeled as an…
Decentralised automated market makers (AMMs) have gained significant attention recently. We propose an adaptive and automated Dynamic Function Market Maker (DFMM) that addresses challenges in this space. Our DFMM protocol includes a data…
Decentralized Finance (DeFi) on Ethereum has undergone significant transformations since its emergence during the DeFi summer of 2020. With the introduction of Proof of Stake (PoS) and Proposer-Builder Separation (PBS), the transaction…
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…
Pricing assets has attracted significant attention from the financial technology community. We observe that the existing solutions overlook the cross-sectional effects and not fully leveraged the heterogeneous data sets, leading to…