The Replicating Portfolio of a Constant Product Market

Name: The Replicating Portfolio of a Constant Product Market
Author: Guillermo Angeris, Alex Evans, Tarun Chitra

Guillermo Angeris, Alex Evans, Tarun Chitra

Paper2021-03-27English

ammreplicationoptions

Description

CFMM LP positions as replicating portfolio of options with implied volatility.

Quantitative mode stability for the wave equation on the Kerr-Newman spacetime

Risk-Aware Objective-Based Forecasting in Inertia Management

Chainalysis: Geography of Cryptocurrency 2023

Periodicity in Cryptocurrency Volatility and Liquidity

Impact of Geometric Uncertainty on the Computation of Abdominal Aortic Aneurysm Wall Strain

Simulation-based Bayesian inference with ameliorative learned summary statistics -- Part I