Buch, Englisch, 288 Seiten, Format (B × H): 175 mm x 252 mm, Gewicht: 590 g
Buch, Englisch, 288 Seiten, Format (B × H): 175 mm x 252 mm, Gewicht: 590 g
ISBN: 978-1-394-37007-8
Verlag: Wiley
Master the quantitative foundations you need to successfully invest in and trade digital assets
Financial Mathematics for Cryptocurrencies by Tom J. Espel combines two of today's most dynamic fields – quantitative finance and cryptocurrencies – in a comprehensive guide that addresses the unique mathematical challenges faced by everyone involved in the crypto markets. Espel draws on his extensive experience in frontier assets to explain the analytical frameworks you’ll need to make informed investment decisions, identify pricing opportunities, and manage risk in this volatile asset class.
The book adapts relevant quantitative finance methodologies specifically for digital assets, bridging the gap between traditional financial mathematics and the distinctive characteristics of blockchain-based instruments. Espel introduces three essential constructs for DeFi pricing theory: network time, the validator account as a new numéraire, and wrapped token frameworks for cross-chain valuation. Its modular structure allows readers to navigate directly to relevant sections, covering everything from blockchain fundamentals to advanced valuation models, staking contract mathematics, and liquidity cost analysis in cryptocurrency markets.
You’ll find: - Mathematical frameworks for staking contracts, liquid staking derivatives, and yield farming strategies with rigorous ex-ante and ex-post valuations
- Comprehensive coverage of network valuation methods including Metcalfe's Law, Reed's Law, and the ZBOT framework specifically applied to digital assets
- Pricing theory extending arbitrage-free pricing to blockchain assets through the validator account and blockchain measure (B-measure)
- Expert insights from an author specializing in quantitative strategies for electronic and illiquid assets, with expertise in market microstructure and volatility modeling
- Accessible mathematical solutions designed for practitioners in applied mathematics and quantitative finance, with clear and rigorous explanations
Perfect for quantitative analysts, traders, portfolio managers, cryptocurrency researchers, and finance students, Financial Mathematics for Cryptocurrencies is an indispensable resource for applying established financial mathematics to the digital asset ecosystem. It’s a must-read for everyone developing trading algorithms and pricing models, conducting digital asset analysis, or researching cryptocurrency markets.
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
Preface xvii
Acknowledgments xix
Acronyms xxi
Notations xxiii
Introduction xxv
PART ONE Fundamentals of Digital Assets
CHAPTER 1 Overview of Digital Assets 3
1.1 Semantics 3
1.2 Brief History 5
1.3 Major Coins 10
CHAPTER 2 Topology of Networks 11
2.1 Blockchain Networks 11
2.2 Sidechains 14
2.3 Technical Characteristics 15
2.4 Network Indicators 19
2.5 Staking 20
CHAPTER 3 Asset Characteristics 23
3.1 Network Versus Asset 23
3.2 Conventional Asset Classification 24
PART TWO Network Valuation
CHAPTER 4 Digital Asset Classification 47
4.1 Prudential Classification 48
4.2 Sector Classification 48
4.3 WWS Market Cap Characterization 50
4.4 Ecosystem Classification 51
4.5 Functional Classification 53
CHAPTER 5 Network Valuation 57
5.1 Market Capitalization Multiple 58
5.2 Business Valuations 59
5.3 User-based Network Valuations 62
5.4 Discussion on Network Valuations 65
5.5 Transaction Volume Pricing 66
5.6 Factor Analysis 70
5.7 Relative Value Pricing and Interchain Basis 73
PART THREE Market Structure
CHAPTER 6 Carry and Storage 79
6.1 Lending and Margin 79
6.2 Carry and Forward Pricing 81
6.3 Cost of Carry and Convenience Yield 83
6.4 Digital Asset Custody 86
CHAPTER 7 Liquidity Interface 89
7.1 Traditional Finance Pathways 89
7.2 Stablecoins 90
7.3 Tokenized Assets 91
7.4 Defi Liquidity Interface 94
CHAPTER 8 Cost of Liquidity 97
8.1 Price Decomposition Framework 97
8.2 Components of the Spread 100
8.3 The Blockchain Paradox 103
CHAPTER 9 Fee Models 107
9.1 Fees 107
9.2 Oscillating Fees Model 108
9.3 Extended Fee Models 112
PART FOUR Price Returns
CHAPTER 10 Price Process 117
10.1 Mathematical Framework for Price Processes 117
10.2 Price Returns 118
10.3 Empirical Properties of Financial Time Series 119
CHAPTER 11 Price Return Models 125
11.1 AR Models 125
11.2 Constant Volatility Models 131
11.3 Stochastic Volatility Models 136
PART FIVE Pricing Theory
CHAPTER 12 Discounting and Staking 145
12.1 Clocks 145
12.2 Pricing Assumptions 149
CHAPTER 13 Forward Rate Curve 159
13.1 Rates and Curves 159
13.2 Zero-coupon Bond (ZCB) 161
13.3 Interest Rate Curve 163
13.4 Interest Rate Swap (IRS) 166
CHAPTER 14 Arbitrage Pricing Theory 171
14.1 Numéraire 171
14.2 Martingales 172
14.3 Risk-neutral Measure 173
14.4 Money Market Account 176
14.5 Validator Account 177
14.6 Stablecoins 182
CHAPTER 15 Cross-chain Asset Pricing 183
15.1 On-off-chain Pricing 183
15.2 Siegel Paradox 186
15.3 Interchain Valuation 188
CHAPTER 16 Overview of Interest Rate Models 191
16.1 CIR Model 191
16.2 SABR Model 192
16.3 SVJC Model 193
16.4 HJM Model 194
PART SIX Staking Contract
CHAPTER 17 Direct Staking Contracts 199
17.1 Direct Staking 199
17.2 With Accrual 202
17.3 Non-accrual 204
17.4 Non-accrual with Queue Mechanisms 207
CHAPTER 18 Other Staking Contracts 215
18.1 Liquid Staking 215
18.2 Liquid Restaking 222
18.3 Yield Farming 224
Open Problems 227
Afterword 229
Glossary 231
References 235
Disclaimer 253
About the Author 255
Index 257
