Search Results for author: Maxim Bichuch

Found 10 papers, 0 papers with code

Decentralized Prediction Markets and Sports Books

no code implementations17 Jul 2023 Hamed Amini, Maxim Bichuch, Zachary Feinstein

Importantly, we study how liquidity can be pooled or withdrawn from the AMM and the resulting implications to the market behavior.

Axioms for Automated Market Makers: A Mathematical Framework in FinTech and Decentralized Finance

no code implementations3 Oct 2022 Maxim Bichuch, Zachary Feinstein

Within this work we consider an axiomatic framework for Automated Market Makers (AMMs).

When do you Stop Supporting your Bankrupt Subsidiary? A Systemic Risk Perspective

no code implementations30 Jan 2022 Maxim Bichuch, Nils Detering

We consider a network of bank holdings, where every holding has two subsidiaries of different types.

Decentralized Payment Clearing using Blockchain and Optimal Bidding

no code implementations1 Sep 2021 Hamed Amini, Maxim Bichuch, Zachary Feinstein

Finally, we consider the optimal bidding strategies for each firm in the network so that all firms are utility maximizers with respect to their terminal wealths.

Endogenous inverse demand functions

no code implementations14 Dec 2020 Maxim Bichuch, Zachary Feinstein

In this work we present an equilibrium formulation for price impacts.

A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms

no code implementations11 May 2020 Maxim Bichuch, Zachary Feinstein

Similarly the fire-sale price of the asset obtained by each of the banks depends on the amount of assets liquidated by the bank itself and by other banks.

Optimal Investment with Correlated Stochastic Volatility Factors

no code implementations20 Aug 2019 Maxim Bichuch, Jean-Pierre Fouque

The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention.

Robust XVA

no code implementations14 Aug 2018 Maxim Bichuch, Agostino Capponi, Stephan Sturm

We introduce an arbitrage-free framework for robust valuation adjustments.

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