13 citations · 34 across the 12 of their papers we have counts for
13 papers
Static Replication of Impermanent Loss for Concentrated Liquidity Provision in Decentralised Markets
Jun Deng, Hua Zong, Yun Wang
This article analytically characterizes the impermanent loss of concentrated liquidity provision for automatic market makers in decentralised markets such as Uniswap. We propose tw…
Net Buying Pressure and the Information in Bitcoin Option Trades
Carol Alexander, Jun Deng, Jianfen Feng +1
How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage hypothesis about the market…
Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets
Zhiyong Cheng, Jun Deng, Tianyi Wang +1
Using the generalized extreme value theory to characterize tail distributions, we address liquidation, leverage, and optimal margins for bitcoin long and short futures positions. T…
Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading
Carol Alexander, Jun Deng, Bin Zou
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strateg…
Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time
Jun Deng, Bin Zou
We study a quadratic hedging problem for a sequence of contingent claims with random weights in discrete time. We obtain the optimal hedging strategy explicitly in a recursive repr…
An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing
Dianfa Chen, Jun Deng, Jianfen Feng +1
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov…