3 papers
q-fin.MF2026
Leveraged positions on decentralized lending platforms
Bastien Baude, Vincent Danos, Hamza El Khalloufi
We develop a mathematical framework to optimize leveraged staking ("loopy") strategies in Decentralized Finance (DeFi), in which a staked asset is supplied as collateral, the under…
q-fin.MF2026
Optimal execution on Uniswap v2/v3 under transient price impact
Bastien Baude, Damien Challet, Ioane Muni Toke
We study the optimal liquidation of a large position on Uniswap v2 and Uniswap v3 in discrete time. The instantaneous price impact is derived from the AMM pricing rule. Transient i…
q-fin.MF2025
Optimal risk-aware interest rates for decentralized lending protocols
Bastien Baude, Damien Challet, Ioane Muni Toke
Interest rates in decentralized lending protocols are set algorithmically and adjust to supply and demand for liquidity. In this study, we propose an optimal interest rate model th…