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Weighted variance swaps hedge against impermanent loss

Author

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  • Masaaki Fukasawa
  • Basile Maire
  • Marcus Wunsch

Abstract

Impermanent Loss in Decentralized Finance can be hedged with weighted variance swaps

Suggested Citation

  • Masaaki Fukasawa & Basile Maire & Marcus Wunsch, 2023. "Weighted variance swaps hedge against impermanent loss," Quantitative Finance, Taylor & Francis Journals, vol. 23(6), pages 901-911, June.
    • Handle: RePEc:taf:quantf:v:23:y:2023:i:6:p:901-911
    DOI: 10.1080/14697688.2023.2202708
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    Cited by:

    1. Maxim Bichuch & Zachary Feinstein, 2024. "DeFi Arbitrage in Hedged Liquidity Tokens," Papers 2409.11339, arXiv.org.
    2. Alexander Lipton, 2023. "Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results," Papers 2309.04547, arXiv.org.
    3. Werner Brönnimann & Pascal Egloff & Thomas Krabichler, 2024. "Automated market makers and their implications for liquidity providers," Digital Finance, Springer, vol. 6(3), pages 573-604, September.
    4. Alexander Lipton, 2024. "Hydrodynamics of Markets:Hidden Links Between Physics and Finance," Papers 2403.09761, arXiv.org.
    5. Guillermo Angeris & Tarun Chitra & Theo Diamandis & Alex Evans & Kshitij Kulkarni, 2023. "The Geometry of Constant Function Market Makers," Papers 2308.08066, arXiv.org.

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