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Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-29268
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dc.contributor.authorFukasawa, Masaaki-
dc.contributor.authorMaire, Basile-
dc.contributor.authorWunsch, Marcus-
dc.date.accessioned2023-12-01T16:26:00Z-
dc.date.available2023-12-01T16:26:00Z-
dc.date.issued2023-05-
dc.identifier.issn1469-7688de_CH
dc.identifier.issn1469-7696de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/29268-
dc.description.abstractDecentralized Exchanges (DEXes) allow users to trade in a fully noncustodial manner. Traders can directly swap their digital currencies using a smart contract, a program running on the blockchain, rather than trusting a central counterparty with their funds. In the early stages, the low throughput of blockchains required another trading model than the traditional order book approach, which gave rise to Automated Market Makers (AMMs). An AMM is a smart contract that determines the price for which traders can swap their digital currency against another digital currency. For the trade to happen, liquidity providers lock digital currencies into a smart contract, the liquidity pool. The AMM deposits the trader's digital currency into the liquidity pool and pays the trader with the other digital currency from the liquidity pool according to the price provided by the AMM. This alters the amounts owned by liquidity providers. In turn, liquidity providers earn trading fees, cf. Mohan (Citation2022). In a Constant Function Market, the AMM determines the price via a so-called trading function – a function of the liquidity pool's reserves – so that the value of the trading function given the post-trade reserves equals its value given the pre-trade reserves.de_CH
dc.language.isoende_CH
dc.publisherRoutledgede_CH
dc.relation.ispartofQuantitative Financede_CH
dc.rightshttp://creativecommons.org/licenses/by-nc-nd/4.0/de_CH
dc.subjectDecentralized exchangede_CH
dc.subjectDigital currencyde_CH
dc.subjectImpairment lossde_CH
dc.subjectWeighted variance swapde_CH
dc.subject.ddc332.6: Investitionde_CH
dc.titleWeighted variance swaps hedge against impermanent lossde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.organisationalunitInstitut für Wealth & Asset Management (IWA)de_CH
dc.identifier.doi10.1080/14697688.2023.2202708de_CH
dc.identifier.doi10.21256/zhaw-29268-
zhaw.funding.euNode_CH
zhaw.issue6de_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.end911de_CH
zhaw.pages.start901de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume23de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
zhaw.webfeedW: Spitzenpublikationde_CH
zhaw.author.additionalNode_CH
zhaw.display.portraitYesde_CH
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Fukasawa, M., Maire, B., & Wunsch, M. (2023). Weighted variance swaps hedge against impermanent loss. Quantitative Finance, 23(6), 901–911. https://doi.org/10.1080/14697688.2023.2202708
Fukasawa, M., Maire, B. and Wunsch, M. (2023) ‘Weighted variance swaps hedge against impermanent loss’, Quantitative Finance, 23(6), pp. 901–911. Available at: https://doi.org/10.1080/14697688.2023.2202708.
M. Fukasawa, B. Maire, and M. Wunsch, “Weighted variance swaps hedge against impermanent loss,” Quantitative Finance, vol. 23, no. 6, pp. 901–911, May 2023, doi: 10.1080/14697688.2023.2202708.
FUKASAWA, Masaaki, Basile MAIRE und Marcus WUNSCH, 2023. Weighted variance swaps hedge against impermanent loss. Quantitative Finance. Mai 2023. Bd. 23, Nr. 6, S. 901–911. DOI 10.1080/14697688.2023.2202708
Fukasawa, Masaaki, Basile Maire, and Marcus Wunsch. 2023. “Weighted Variance Swaps Hedge against Impermanent Loss.” Quantitative Finance 23 (6): 901–11. https://doi.org/10.1080/14697688.2023.2202708.
Fukasawa, Masaaki, et al. “Weighted Variance Swaps Hedge against Impermanent Loss.” Quantitative Finance, vol. 23, no. 6, May 2023, pp. 901–11, https://doi.org/10.1080/14697688.2023.2202708.


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