40 citations · 91 across the 18 of their papers we have counts for
9 papers · 1 filter
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…
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…
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…
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…