Zobrazeno 1 - 10
of 36
pro vyhledávání: '"Sepp, Artur"'
We develop static and dynamic approaches for hedging of the impermanent loss (IL) of liquidity provision (LP) staked at Decentralised Exchanges (DEXes) which employ Uniswap V2 and V3 protocols. We provide detailed definitions and formulas for computi
Externí odkaz:
http://arxiv.org/abs/2407.05146
Autor:
Lipton, Alexander, Sepp, Artur
We combine the one-dimensional Monte Carlo simulation and the semi-analytical one-dimensional heat potential method to design an efficient technique for pricing barrier options on assets with correlated stochastic volatility. Our approach to barrier
Externí odkaz:
http://arxiv.org/abs/2202.07849
Autor:
Lipton, Alex, Sepp, Artur
We present an automated market-making (AMM) cross-settlement mechanism for digital assets on interoperable blockchains, focusing on central bank digital currencies (CBDCs) and stable coins. We develop an innovative approach for generating fair exchan
Externí odkaz:
http://arxiv.org/abs/2109.12196
Autor:
SEPP, ARTUR1 (AUTHOR) artursepp@gmail.com, RAKHMONOV, PARVIZ2 (AUTHOR) parviz.msu@gmail.com
Publikováno v:
International Journal of Theoretical & Applied Finance. Dec2023, Vol. 26 Issue 8, p1-63. 63p.
Autor:
Sepp, Artur1 (AUTHOR) artur.sepp@baml.com
Publikováno v:
Quantitative Finance. Jul2012, Vol. 12 Issue 7, p1119-1141. 23p. 6 Charts, 8 Graphs.
Autor:
Sepp, Artur1 artursepp@hotmail.com
Publikováno v:
International Journal of Theoretical & Applied Finance. Mar2004, Vol. 7 Issue 2, p151-175. 25p.
Akademický článek
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