13 citations · 16 across the 8 of their papers we have counts for
3 papers · 1 filter
Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision
Álvaro Cartea, Fayçal Drissi, Marcello Monga
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics o…
Hedging Non-Tradable Risks with Transaction Costs and Price Impact
Alvaro Cartea, Ryan Donnelly, Sebastian Jaimungal
A risk-averse agent hedges her exposure to a non-tradable risk factor using a correlated traded asset and accounts for the impact of her trades on both factors. The effect…
Technical Uncertainty in Real Options with Learning
Ali Al-Aradi, Alvaro Cartea, Sebastian Jaimungal
We introduce a new approach to incorporate uncertainty into the decision to invest in a commodity reserve. The investment is an irreversible one-off capital expenditure, after whic…