4 citations · 4 across the 1 of their papers we have counts for
2 papers
q-fin.PR2026
The Term Structure of Implied Fee Rates in Liquidity Pools
Diogo Duarte, Lucas X. Ferreira, Emmanuel Gobet +1
We develop a no-arbitrage framework to recover implied fee rates from option-implied information and quantify fee compensation for liquidity providers in automated market maker (AM…
q-fin.CP2022★ 4 cited
Statistical Learning of Value-at-Risk and Expected Shortfall
D Barrera, S Crépey, E Gobet +2
We propose a non-asymptotic convergence analysis of a two-step approach to learn a conditional value-at-risk (VaR) and a conditional expected shortfall (ES) using Rademacher bounds…