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Updated the Stablecoin paper.

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Chen Yang
2024-07-26 16:22:38 +08:00
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@@ -133,7 +133,7 @@ Stochastic Control; Portfolio Selection; Asset Pricing; Market Frictions; Market
</li><br>
<li>Designing Stable Coins (with <a href="https://www.linkedin.com/in/yizhoucao/" target="_blank">Yizhou Cao</a>, <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a href="https://www.linkedin.com/in/lewei-li/" target="_blank">Lewei Li</a>).<br>
<b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_StableCoin');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3856569" target="_blank">SSRN</a>]<br>
<i><b>Mathematical Finance</b>, forthcoming</i>. [<a href="" onclick="toggleAbstract('abs_StableCoin');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3856569" target="_blank">SSRN</a>]<br>
<div style="display:none" id="abs_StableCoin">
<hr>
<i>Stable coins, which are cryptocurrencies pegged to other stable financial assets such as U.S. dollar, are desirable for payments within blockchain networks, whereby being often called the “Holy Grail of cryptocurrency.” However, existing cryptocurrencies are too volatile for these purposes. By using the option pricing theory, we design several dual-class structures that offer a fixed income crypto asset, a stable coin pegged to a traditional currency, and leveraged investment instruments. To understand the impact of the proposed coins on the speculative and non-speculative demands of cryptocurrencies, we study equilibrium with and without the stable coins. Our investigation of the values of stable coins in presence of jump risk and black-swan type events shows the robustness of the design.</i>
@@ -141,8 +141,7 @@ Stochastic Control; Portfolio Selection; Asset Pricing; Market Frictions; Market
</li><br>
<li>An Equilibrium Model for the Cross-Section of Liquidity Premia (with <a href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="_blank">Johannes Muhle-Karbe</a> and <a href="https://xf-shi.github.io" target="_blank">Xiaofei Shi</a>).<br>
<i><b>Mathematics of Operations Research</b></i>,
48(3):1423-1453, 2023. [<a href="" onclick="toggleAbstract('abs_LiqPre');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3738500" target="_blank">SSRN</a>|<a href="https://arxiv.org/abs/2011.13625"
<i><b>Mathematics of Operations Research</b></i>, 48(3):1423-1453, 2023. [<a href="" onclick="toggleAbstract('abs_LiqPre');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3738500" target="_blank">SSRN</a>|<a href="https://arxiv.org/abs/2011.13625"
target="_blank">arXiv</a>|<a href="https://pubsonline.informs.org/doi/abs/10.1287/moor.2022.1307" target="_blank">Article</a>]<br>
<div style="display:none" id="abs_LiqPre">
<hr>