40 citations · 91 across the 18 of their papers we have counts for
24 papers
Freemium Is All You Need
Maxim Bichuch, Aviv Yaish
Free access to a generative AI (GenAI) service requires costly compute, yet can also produce data that improve future service quality. We study a service provider whose users diffe…
Designing On-Chain Options: Amortizing Perpetual Options
Maxim Bichuch, Zachary Feinstein
Financial options are fundamental to traditional markets, enabling strategies ranging from hedging to speculating. Yet, while the Automated Market Maker paradigm has revolutionized…
The Price of Liquidity: Implied Volatility of Automated Market Maker Fees
Maxim Bichuch, Zachary Feinstein
An automated market maker (AMM) provides a method for creating a decentralized exchange on the blockchain. For this purpose, individual investors lend liquidity to the AMM pool in…
A Derivative Pricing Perspective on Liquidity Tokens in Constant Product Market Makers
Maxim Bichuch, Zachary Feinstein
In decentralized finance, any individual can pool their assets into an automated market maker (AMM) -- herein we focus on the constant product market maker (CPMM) -- in exchange fo…
Intertemporal Cost-efficient Consumption
Mauricio Elizalde, Stephan Sturm
We aim to provide an intertemporal, cost-efficient consumption model that extends the consumption optimization inspired by the Distribution Builder, a tool developed by Sharpe, Joh…
Decentralized Prediction Markets and Sports Books
Hamed Amini, Maxim Bichuch, Zachary Feinstein
Prediction markets allow traders to bet on potential future outcomes. These markets exist for weather, political, sports, and economic forecasting. Within this work we consider a d…
Axioms for Automated Market Makers: A Mathematical Framework in FinTech and Decentralized Finance
Maxim Bichuch, Zachary Feinstein
Within this work we consider an axiomatic framework for Automated Market Makers (AMMs). AMMs are smart contracts that set prices for swaps on a pool of assets. By imposing reasonab…
Model-free Learning of Regions of Attraction via Recurrent Sets
Yue Shen, Maxim Bichuch, Enrique Mallada
We consider the problem of learning an inner approximation of the region of attraction (ROA) of an asymptotically stable equilibrium point without an explicit model of the dynamics…
Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective
Maxim Bichuch, Nils Detering
We consider a network of bank holdings, where every holding has two subsidiaries of different types. A subsidiary can trade with another holding's subsidiary of the same type. Hold…
Prospective Learning: Principled Extrapolation to the Future
Ashwin De Silva, Rahul Ramesh, Lyle Ungar +40
Learning is a process which can update decision rules, based on past experience, such that future performance improves. Traditionally, machine learning is often evaluated under the…
Decentralized Payment Clearing using Blockchain and Optimal Bidding
Hamed Amini, Maxim Bichuch, Zachary Feinstein
In this paper, we construct a decentralized clearing mechanism which endogenously and automatically provides a claims resolution procedure. This mechanism can be used to clear a ne…
Endogenous inverse demand functions
Maxim Bichuch, Zachary Feinstein
In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants, e…
On the Value of Energy Storage in Generation Cost Reduction
Yue Shen, Maxim Bichuch, Enrique Mallada
This work seeks to quantify the benefits of using energy storage toward the reduction of the energy generation cost of a power system. A two-fold optimization framework is provided…
A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms
Maxim Bichuch, Zachary Feinstein
We consider a network of banks that optimally choose a strategy of asset liquidations and borrowing in order to cover short term obligations. The borrowing is done in the form of c…
Optimal Investment with Correlated Stochastic Volatility Factors
Maxim Bichuch, Jean-Pierre Fouque
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot o…
Robust XVA
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We introduce an arbitrage-free framework for robust valuation adjustments. An investor trades a credit default swap portfolio with a risky counterparty, and hedges credit risk by t…
Optimization of Fire Sales and Borrowing in Systemic Risk
Maxim Bichuch, Zachary Feinstein
This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as…
Arbitrage-Free XVA
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We develop a framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based o…
Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE characterizing buyer's and seller's XVA in a framework that allows for asymmetries i…
Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We develop a novel framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. B…
Optimal Investment with Transaction Costs and Stochastic Volatility
Maxim Bichuch, Ronnie Sircar
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility…
Pricing a Contingent Claim Liability with Transaction Costs Using Asymptotic Analysis for Optimal Investment
Maxim Bichuch
We price a contingent claim liability using the utility indifference argument. We consider an agent with exponential utility, who invests in a stock and a money market account with…
Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
Maxim Bichuch
We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportion…
Portfolio Optimization under Convex Incentive Schemes
Maxim Bichuch, Stephan Sturm
We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function $…