Inefficiency of CFMs: hedging perspective and agent-based simulations
We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk. We first analyse this problem through the lens of continuous-time financial mathematics and derive an upper bound for not-arbitrage fee income that would...
| Main Authors: | , , , |
|---|---|
| Format: | Conference item |
| Language: | English |
| Published: |
Springer Nature
2023
|