Theory of Cryptocurrency Interest Rates
- Submitting institution
-
Goldsmiths' College
- Unit of assessment
- 11 - Computer Science and Informatics
- Output identifier
- 3286
- Type
- D - Journal article
- DOI
-
10.1137/19M1263042
- Title of journal
- SIAM Journal for Financial Mathematics
- Article number
- -
- First page
- 148
- Volume
- 11
- Issue
- 1
- ISSN
- 1945-497X
- Open access status
- Compliant
- Month of publication
- March
- Year of publication
- 2020
- URL
-
http://research.gold.ac.uk/id/eprint/28114/
- Supplementary information
-
-
- Request cross-referral to
- -
- Output has been delayed by COVID-19
- No
- COVID-19 affected output statement
- -
- Forensic science
- No
- Criminology
- No
- Interdisciplinary
- No
- Number of additional authors
-
2
- Research group(s)
-
-
- Citation count
- 0
- Proposed double-weighted
- No
- Reserve for an output with double weighting
- No
- Additional information
- This work builds for the first time a model for cryptocurrency interest rates. The problem is challenging since the decentralization of cryptomarkets means there is no central bank to set rates, and no mechanism in distributed ledger technology to pay instantaneous rates in coins. The problem was overcome with the idea that the pricing kernel in a cryptomarket is a strictly local martingale. The work is significant on account of its relevance to the burgeoning, computationally-intensive development of new financial technologies. The paper was presented as a plenary talk at the 2019 Research-in-Options conference at IMPA, Rio de Janeiro.
- Author contribution statement
- -
- Non-English
- No
- English abstract
- -