Book contents
Part IV - Cryptocurrency Economics and Monetary Policies
Published online by Cambridge University Press: 06 March 2025
Summary
A summary is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.
- Type
- Chapter
- Information
- Digital AssetsPricing, Allocation and Regulation, pp. 227 - 228Publisher: Cambridge University PressPrint publication year: 2025
References
Bibliography
Baeriswyl, R., Reynard, S., and Swoboda, A. (2021). Retail CBDC purposes and risk transfers to the central bank.Google Scholar
Bank of Canada, European Central Bank, Bank of Japan, Sveriges Riksbank, Swiss National Bank, Bank of England, Board of Governors of the Federal Reserve and Bank for International Settlements (2020). Central bank digital currencies: Foundational principles and core features. Technical report.Google Scholar
Bindseil, U. (2020). Tiered CBDC and the financial system. Frankfurt: European Central Bank.Google Scholar
Brunnermeier, M. K. and Niepelt, D. (2019). On the equivalence of private and public money. Journal of Monetary Economics, 106:29–41.CrossRefGoogle Scholar
Committee on Payments and Market Infrastructures (2019). Wholesale digital tokens. Technical report, Bank for International Settlements.Google Scholar
Committee on Payments and Market Infrastructures and International Organization of Securities Commissions (2021). Application of the principles for financial market infrastructures to stablecoin arrangements. Technical report, Bank for International Settlements.Google Scholar
Financial Stability Board (2020). Regulation, supervision and oversight of “global stablecoin” arrangements. Technical report, Financial Stability Board.Google Scholar
Malloy, M. and Lowe, D. (2021). Global stablecoins: Monetary policy implementation considerations from a U.S. perspective. Finance and Economics Discussion.CrossRefGoogle Scholar
Quarles, R. K. (2021). Parachute pants and central bank money. Technical report, Board of Governors of the Federal Reserve System.Google Scholar
Bibliography
Alexander, C. and Imeraj, A. (2021). Inverse options in a black-scholes world. arXiv:2107.12041.Google Scholar
BIS (2021). Statistical release: Otc derivatives statistics at end-december 2020. www.bis.org.Google Scholar
Brody, D. C., Hughston, L. P., and Meister, B. K. (2020). Theory of cryptocurrency interest rates. SIAM Journal on Financial Mathematics, 11(1):148–168.CrossRefGoogle Scholar
Credit Suisse (2020). The global wealth report 2020. Credit Suisse Research Institute.Google Scholar
Daian, P., Goldfeder, S., Kell, T., Li, Y., Zhao, X., Bentov, I., Breidenbach, L., and Juels, A. (2019). Flash boys 2.0: Frontrunning, transaction reordering, and consensus instability in decentralized exchanges. arXiv:1904.05234.Google Scholar
Dennett, D. and Roy, D. (2015). Our transparent future. Scientific American, 312:64–69.CrossRefGoogle Scholar
Geman, H. and Price, H. (2020). In the vaults: Bitcoin futures and storage insurance. The Actuary.Google Scholar
Geman, H. and Price, H. (2021). Bitcoin spot and derivatives markets: Searching for completeness. Risk and Decision Analysis, 8(3–4):113–125.CrossRefGoogle Scholar
Johnson, H. (1987). Options on the maximum or the minimum of several assets. The Journal of Financial and Quantitative Analysis, 22:277.CrossRefGoogle Scholar
Jr, G. and K, A. (1988). Undated futures markets. Journal of Futures Markets, 8(1):89–97.Google Scholar
Kelly, J. L. (1956). A new interpretation of information rate. Bell System Technical Journal, 35:917–926.CrossRefGoogle Scholar
Kruppa, M. (2021). Silicon Valley bets on crypto projects to disrupt finance. Appeared on FT.com on 3/6/2021.Google Scholar
Lipton, A. (2001). Mathematical methods for foreign exchange: A financial engineer’s approach. World Scientific.CrossRefGoogle Scholar
Lv, Y. and Meister, B. K. (2009). Application of the Kelly criterion to Ornstein-Uhlenbeck processes. In International Conference on Complex Sciences, pages 1051–1062. Springer.CrossRefGoogle Scholar
Lv, Y. and Meister, B. K. (2010). Implication of the Kelly criterion for multidimensional processes. International Journal of Theoretical and Applied Finance, 13(01):93–112.CrossRefGoogle Scholar
Margrabe, W. (1978). The value of an option to exchange one asset for another. The Journal of Finance, 33(1):177–186.CrossRefGoogle Scholar
Maruyama, R. and Washimi, K. (2021). Cross-currency swap market through the lens of OTC derivative transaction data: Impact of COVID-19 and subsequent recovery. Bank of Japan Review, 2021-J-4, 2021-E-1.Google Scholar
Qin, K., Zhou, L., Gamito, P., Jovanovic, P., and Gervais, A. (2021). An empirical study of DeFi liquidations: Incentives, risks, and instabilities. arXiv:2106.06389.Google Scholar
Shiller, R. J. (1993). Measuring asset values for cash settlement in derivative markets: Hedonic repeated measures indices and perpetual futures. The Journal of Finance, 48:911–931.CrossRefGoogle Scholar
Szalay, E. (2021). The Tether equation for investors: Risk vs yield. Appeared on FT.com on 29/10/2021.Google Scholar
Zhang, Y., Chen, X., and Park, D. (2018). Formal specification of constant product (xy= k) market maker model and implementation. White paper. Zhou, L., Qin, K., Torres, C. F., Le, D. V., and Gervais, A. (2020). Highfrequency trading on decentralized on-chain exchanges. arXiv:2009. 14021.Google Scholar