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Decentralized perpetuals protocols have collectively reached billions of dollars of daily trading volume, yet are still not serious competitors on the basis of trading volume with centralized venues such as Binance. One of the main reasons…
Liquidity Providers on Automated Market Makers generate millions of USD in transaction fees daily. However, the net value of a Liquidity Position is vulnerable to price changes in the underlying assets in the pool. The dominant measure of…
Minimum-weight triangulation (MWT) is NP-hard. It has a polynomial-time constant-factor approximation algorithm, and a variety of effective polynomial- time heuristics that, for many instances, can find the exact MWT. Linear programs (LPs)…
It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This holds true in market models where no…
Dynamic-weight AMMs (aka Temporal Function Market Makers, TFMMs) implement algorithmic asset allocation, analogous to index or smart beta funds, by continuously updating pools' weights. A strategy updates target weights over time, and…
Explicit robust hedging strategies for convex or concave payoffs under a continuous semimartingale model with uncertainty and small transaction costs are constructed. In an asymptotic sense, the upper and lower bounds of the cumulative…
Finite-horizon Markov decision processes (MDPs) with high-dimensional exogenous uncertainty and endogenous states arise in operations and finance, including the valuation and exercise of Bermudan and real options, but face a scalability…
In the design of incentive compatible mechanisms, a common approach is to enforce incentive compatibility as constraints in programs that optimize over feasible mechanisms. Such constraints are often imposed on sparsified representations of…
We introduce DeltaLLM, a new post-training compression technique to reduce the memory footprint of LLMs. We propose an alternative way of structuring LLMs with weight sharing between layers in subsequent Transformer blocks, along with…
We observe that several existing policy gradient methods (such as vanilla policy gradient, PPO, A2C) may suffer from overly large gradients when the current policy is close to deterministic (even in some very simple environments), leading…
This work focuses on the dynamic hedging of financial derivatives, where a reinforcement learning algorithm is designed to minimize the variance of the delta hedging process. In contrast to previous research in this area, we apply…
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reaches a threshold level. The rate of…
Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the Black--Merton--Scholes model where it…
In recent years, researchers have made significant progress in devising reinforcement-learning algorithms for optimizing linear temporal logic (LTL) objectives and LTL-like objectives. Despite these advancements, there are fundamental…
This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a…
In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed…
It is well-known that a delta potential well in 1D has only one bound state but that in 3D it supports an {\it infinite} number of bound states with {\it infinite} binding energy for the lowest level. We show how this also holds for the…
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump…
We propose the differentially private lottery ticket mechanism (DPLTM). An end-to-end differentially private training paradigm based on the lottery ticket hypothesis. Using "high-quality winners", selected via our custom score function,…