31 citations · 119 across the 20 of their papers we have counts for
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q-fin.MF2023★ 1 cited
Inefficiency of CFMs: hedging perspective and agent-based simulations
Samuel Cohen, Marc Sabaté Vidales, David Šiška +1
We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk. We first analyse this problem thro…
q-fin.MF2020
Robust pricing and hedging via neural SDEs
Patryk Gierjatowicz, Marc Sabate-Vidales, David Šiška +2
Mathematical modelling is ubiquitous in the financial industry and drives key decision processes. Any given model provides only a crude approximation to reality and the risk of usi…