Related papers: The Free Option Problem of ePBS
Context: Smart contract vulnerabilities pose significant security risks for the Ethereum ecosystem, driving the development of automated tools for detection and mitigation. Smart contracts are written in Solidity, a programming language…
Blockchain has received much attention in recent years. This immense popularity has raised a number of concerns, scalability of blockchain systems being a common one. In this paper, we seek to understand how Ethereum, a well-established…
Recent attacks exploiting errors in smart contract code had devastating consequences thereby questioning the benefits of this technology. It is currently highly challenging to fix errors and deploy a patched contract in time. Instant…
In the context of decentralized blockchains, accurately simulating the outcome of order flow auctions (OFAs) off-chain is challenging due to adversarial sequencing, encrypted bids, and frequent state changes. Existing approaches, such as…
The Ethereum network, built on the devp2p protocol stack, was designed to function as a "world computer" by supporting decentralized applications through a shared P2P infrastructure. However, the proliferation of blockchain forks has…
Mining blocks in a blockchain using the \textit{Proof-of-Work} consensus protocol involves significant risk, as network participants face continuous operational costs while earning infrequent capital gains upon successfully mining a block.…
A proof of work (PoW) blockchain protocol distributes rewards to its participants, called miners, according to their share of the total computational power. Sufficiently large miners can perform selfish mining - deviate from the protocol to…
Barrier derivatives depend on extrema and first-passage events and are therefore highly sensitive to volatility dynamics -- especially to the instantaneous return-volatility correlation $\rho$, often called ``leverage''. This sensitivity…
The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the…
We introduce a modular framework that extends the signature method to handle American option pricing under evolving volatility roughness. Building on the signature-pricing framework of Bayer et al. (2025), we add three practical…
The successive generations of consensus algorithms have progressively shifted the performance bottleneck of blockchains to the execution layer. While recent works address this by parallelizing transaction execution, they often overlook the…
We study how the 2024 U.S. presidential election, viewed as a major political risk event, affected cryptocurrency markets by distinguishing human-driven peer-to-peer stablecoin transactions from automated algorithmic activity. Using…
We address the Threshold Information Disclosure (TID) problem on Ethereum: An arbitrary number of users commit to the scheduled disclosure of their individual messages recorded on the Ethereum blockchain if and only if all such messages are…
We study the impact of the order flow auction (OFA) in the context of the proposer-builder separation (PBS) mechanism in blockchains through a game-theoretic perspective. The OFA is designed to improve user welfare by redistributing maximal…
Many Ethereum smart contracts rely on block attributes such as block.timestamp or blockhash to generate random numbers for applications like lotteries and games. However, these values are predictable and miner-manipulable, creating the Bad…
We study risk-neutral density extraction from short-dated option chains. As expiry approaches, option premia decline and bid--ask spreads can be large relative to prices, making mid quotes particularly uninformative. Stale or asynchronous…
Like most modern blockchain networks, Ethereum has relied on economic incentives to promote honest participation in the chain's consensus. The distributed character of the platform, together with the "randomness" or "luck" factor that both…
An option market maker incurs funding costs when carrying and hedging inventory. To hedge a net long delta inventory, for example, she pays a fee to borrow stock from the securities lending market. Because of haircuts, she posts additional…
On high-throughput, low-fee blockchains, a qualitatively new form of maximal extractable value (MEV) has emerged: searchers submit large volumes of speculative transactions, whose profitability is resolved only at execution time. We refer…
Bitcoin uses blockchain technology to maintain transactions order and provides probabilistic guarantee to prevent double-spending, assuming that an attacker's computational power does not exceed %50 of the network power. In this paper, we…