142 citations · 280 across the 34 of their papers we have counts for
16 papers · 1 filter
The Price of Liquidity: Implied Volatility of Automated Market Maker Fees
Maxim Bichuch, Zachary Feinstein
An automated market maker (AMM) provides a method for creating a decentralized exchange on the blockchain. For this purpose, individual investors lend liquidity to the AMM pool in…
A Derivative Pricing Perspective on Liquidity Tokens in Constant Product Market Makers
Maxim Bichuch, Zachary Feinstein
In decentralized finance, any individual can pool their assets into an automated market maker (AMM) -- herein we focus on the constant product market maker (CPMM) -- in exchange fo…
Decentralized Prediction Markets and Sports Books
Hamed Amini, Maxim Bichuch, Zachary Feinstein
Prediction markets allow traders to bet on potential future outcomes. These markets exist for weather, political, sports, and economic forecasting. Within this work we consider a d…
Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today
Zachary Feinstein, Andreas Sojmark
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This…
Axioms for Automated Market Makers: A Mathematical Framework in FinTech and Decentralized Finance
Maxim Bichuch, Zachary Feinstein
Within this work we consider an axiomatic framework for Automated Market Makers (AMMs). AMMs are smart contracts that set prices for swaps on a pool of assets. By imposing reasonab…
Clearing prices under margin calls and the short squeeze
Zachary Feinstein
In this paper, we propose a clearing model for prices in a financial markets due to margin calls on short sold assets. In doing so, we construct an explicit formulation for the pri…
Endogenous inverse demand functions
Maxim Bichuch, Zachary Feinstein
In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants, e…
Dynamic Default Contagion in Heterogeneous Interbank Systems
Zachary Feinstein, Andreas Sojmark
In this work we provide a simple setting that connects the structural modelling approach of Gai-Kapadia interbank networks with the mean-field approach to default contagion. To acc…
A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field
Zachary Feinstein, Andreas Sojmark
In this work we introduce a model of default contagion that combines the approaches of Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed contagion…
Price mediated contagion through capital ratio requirements with VWAP liquidation prices
Tathagata Banerjee, Zachary Feinstein
We develop a framework for price-mediated contagion in financial systems where banks are forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement. In…
Pricing of debt and equity in a financial network with comonotonic endowments
Tathagata Banerjee, Zachary Feinstein
In this paper we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting pro…
Capital Regulation under Price Impacts and Dynamic Financial Contagion
Zachary Feinstein
We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this settin…
Impact of Contingent Payments on Systemic Risk in Financial Networks
Tathagata Banerjee, Zachary Feinstein
In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion. We consider an extension of the Eisenberg-Noe finan…
Optimization of Fire Sales and Borrowing in Systemic Risk
Maxim Bichuch, Zachary Feinstein
This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as…
Dynamic Clearing and Contagion in Financial Networks
Tathagata Banerjee, Alex Bernstein, Zachary Feinstein
In this paper we introduce a generalized extension of the Eisenberg-Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic ex…
Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
Zachary Feinstein, Weijie Pang, Birgit Rudloff +3
We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system in a stylized setting. The interbank liabil…