5 citations · 8 across the 7 of their papers we have counts for
9 papers
Dynamics of the Liquidity Profile in Concentrated Liquidity Provision: An SPIDE Approach
Cheuk Yin Lee, Jimmy Risk, Shen-Ning Tung +1
We model the dynamics of the liquidity profile in Uniswap~V3 and other concentrated-liquidity automated market makers with a stochastic partial integro-differential equation (SPIDE…
Pricing and hedging for liquidity provision in Constant Function Market Making
Jimmy Risk, Shen-Ning Tung, Tai-Ho Wang
This paper develops a robust mathematical framework for Constant Function Market Makers (CFMMs) by transitioning from traditional token reserve analyses to a coordinate system defi…
Dynamics of Liquidity Surfaces in Uniswap v3
Jimmy Risk, Shen-Ning Tung, Tai-Ho Wang
This paper presents a comprehensive study on the empirical dynamics of Uniswap v3 liquidity, which we model as a time-tick surface, . Using a combination of functional prin…
European Football Player Valuation: Integrating Financial Models and Network Theory
Albert Cohen, Jimmy Risk
This paper presents a new framework for player valuation in European football, by fusing principles from financial mathematics and network theory. The valuation model leverages a "…
Congressional Districting: "Rocks-Pebbles-Sand"
Jimmy Risk, Jennifer Switkes, Ann Zhang
As a case study into an algorithmic approach to congressional districting, North Carolina provides a lot to explore. Statistical modeling has called into question whether recent No…
Expressive Mortality Models through Gaussian Process Kernels
Mike Ludkovski, Jimmy Risk
We develop a flexible Gaussian Process (GP) framework for learning the covariance structure of Age- and Year-specific mortality surfaces. Utilizing the additive and multiplicative…
Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
Michael Ludkovski, James Risk
We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, th…
Gaussian Process Models for Mortality Rates and Improvement Factors
Mike Ludkovski, Jimmy Risk, Howard Zail
We develop a Gaussian process ("GP") framework for modeling mortality rates and mortality improvement factors. GP regression is a nonparametric, data-driven approach for determinin…
Statistical Emulators for Pricing and Hedging Longevity Risk Products
James Risk, Michael Ludkovski
We propose the use of statistical emulators for the purpose of valuing mortality-linked contracts in stochastic mortality models. Such models typically require (nested) evaluation…