142 citations · 280 across the 34 of their papers we have counts for
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q-fin.MF2022
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…
q-fin.MF2022★ 1 cited
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…
math.OC2022★ 3 cited
Deep Learning the Efficient Frontier of Convex Vector Optimization Problems
Zachary Feinstein, Birgit Rudloff
In this paper, we design a neural network architecture to approximate the weakly efficient frontier of convex vector optimization problems (CVOP) satisfying Slater's condition. The…