Financial Mathematics for Cryptocurrencies.

Format:

Book

Author/Creator:

Espel, Tom J.

Series:

Wiley Finance Series

Language:

English

Subjects (All):

Digital currency.

Business mathematics.

Physical Description:

1 online resource (288 pages)

Edition:

1st ed.

Place of Publication:

Newark : John Wiley & Sons, Incorporated, 2026.

Summary:

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.

Contents:

Cover

Half Title Page

Title Page

Copyright

Contents

Preface

Acknowledgments

Acronyms

Notations

Introduction

Part One: Fundamentals of Digital Assets

Chapter 1: Overview of Digital Assets

1.1 SEMANTICS

1.1.1 Digital Assets

1.1.2 Blockchain

1.1.3 Cryptocurrencies and Tokens

1.2 BRIEF HISTORY

1.2.1 Background

1.2.2 Bitcoin

1.2.3 Ethereum

1.2.4 Tokens and Layer 2

1.2.5 dApps and Layer 3

1.2.6 Meme Coins

1.2.7 NFTs

1.2.8 ETFs

1.3 MAJOR COINS

Chapter 2: Topology of Networks

2.1 BLOCKCHAIN NETWORKS

2.1.1 Ledger

2.1.2 Three Pillars of Blockchains

2.1.3 Forks

2.2 SIDECHAINS

2.3 TECHNICAL CHARACTERISTICS

2.3.1 Protocol Layer

2.3.2 Consensus Mechanism

2.3.3 Anonymity

2.4 NETWORK INDICATORS

2.5 STAKING

2.5.1 Direct Staking

2.5.2 Liquid Staking

2.5.3 Yield Farming

Chapter 3: Asset Characteristics

3.1 NETWORK VERSUS ASSET

3.2 CONVENTIONAL ASSET CLASSIFICATION

3.2.1 Financial Instruments and Assets

3.2.2 Asset Classes

3.2.3 Cash Products

3.2.4 Derivatives

3.2.5 Options

3.2.6 Hybrids

3.2.7 Claims and Cash Flows

Open Problems

Part Two: Network Valuation

Chapter 4: Digital Asset Classification

4.1 PRUDENTIAL CLASSIFICATION

4.2 SECTOR CLASSIFICATION

4.2.1 HHR's Classification

4.2.2 Other Sectoral Classifications

4.2.3 Limitations

4.3 WWS MARKET CAP CHARACTERIZATION

4.4 ECOSYSTEM CLASSIFICATION

4.4.1 Schär's Classification

4.4.2 Linnaean Classification

4.5 FUNCTIONAL CLASSIFICATION

4.5.1 FINMA Classification

4.5.2 Enhanced Functional Classification

Chapter 5: Network Valuation

5.1 MARKET CAPITALIZATION MULTIPLE

5.2 BUSINESS VALUATIONS

5.2.1 Peer Comparison

5.2.2 Book Valuation

5.2.3 Dividend Valuation

5.2.4 Cash Flow Valuation.

5.3 USER-BASED NETWORK VALUATIONS

5.3.1 Sarnoff's Law

5.3.2 Metcalfe's Law

5.3.3 Reed's Law

5.3.4 ZBOT Law

5.4 DISCUSSION ON NETWORK VALUATIONS

5.4.1 Comparison of Network Valuations

5.4.2 Limitations

5.4.3 Beyond User-based Network Valuations

5.5 TRANSACTION VOLUME PRICING

5.5.1 Volume Multiple Valuation

5.5.2 Block Time Valuations

5.5.3 Cost Accounting

5.6 FACTOR ANALYSIS

5.6.1 Fundamental Factor Analysis

5.6.2 Regressions

5.6.3 Principal Component Analysis

5.6.4 Limitations

5.7 RELATIVE VALUE PRICING AND INTERCHAIN BASIS

5.7.1 Credit Default Swap Basics

5.7.2 Interchain Basis

5.7.3 Network Default Swaps

Part Three: Market Structure

Chapter 6: Carry and Storage

6.1 LENDING AND MARGIN

6.2 CARRY AND FORWARD PRICING

6.2.1 Forward Pricing Framework

6.2.2 Foreign Exchange Forward Pricing

6.3 COST OF CARRY AND CONVENIENCE YIELD

6.4 DIGITAL ASSET CUSTODY

6.4.1 Wallet Types

6.4.2 Custodial Models and Exchange Custody

6.4.3 Storage Risk and Asset Pricing

Chapter 7: Liquidity Interface

7.1 TRADITIONAL FINANCE PATHWAYS

7.2 STABLECOINS

7.2.1 Definition and Classification

7.2.2 Market Development and Regulation

7.2.3 Economic Characteristics and Pricing

7.3 TOKENIZED ASSETS

7.3.1 Tokenized Bonds

7.3.2 CBDCs and Tokenized Deposits

7.3.3 RWA Tokens

7.4 DEFI LIQUIDITY INTERFACE

Chapter 8: Cost of Liquidity

8.1 PRICE DECOMPOSITION FRAMEWORK

8.1.1 Order Books and Market Structure

8.1.2 Economic Surplus and Market Making

8.1.3 Mathematical Framework

8.2 COMPONENTS OF THE SPREAD

8.2.1 Settlement and Counterparty Risk

8.2.2 Peg Risk

8.2.3 Network and Technical Risk

8.2.4 Liquidity Risk

8.3 THE BLOCKCHAIN PARADOX

Chapter 9: Fee Models

9.1 FEES

9.2 OSCILLATING FEES MODEL.

9.3 EXTENDED FEE MODELS

Chapter 10: Price Process

10.1 MATHEMATICAL FRAMEWORK FOR PRICE PROCESSES

10.2 PRICE RETURNS

10.3 EMPIRICAL PROPERTIES OF FINANCIAL TIME SERIES

10.3.1 Stylized Facts

10.3.2 Long-range Dependence Analysis

Part Four: Price Returns

Chapter 11: Price Return Models

11.1 AR MODELS

11.1.1 ARMA

11.1.2 ARIMA

11.1.3 Calibration

11.2 CONSTANT VOLATILITY MODELS

11.2.1 Geometric Brownian Motion

11.2.2 Ornstein-Uhlenbeck Process

11.2.3 Lévy Process

11.3 STOCHASTIC VOLATILITY MODELS

11.3.1 GARCH Model

11.3.2 Heston Model

11.3.3 Rough Volatility Models

Part Five: Pricing Theory

Chapter 12: Discounting and Staking

12.1 CLOCKS

12.1.1 Network Time

12.1.2 Market Time

12.2 PRICING ASSUMPTIONS

12.2.1 Axioms

12.2.2 Terminology

12.2.3 Risk-free Rate

12.2.4 Compounding

12.2.5 Time Value of Money

Chapter 13: Forward Rate Curve

13.1 RATES AND CURVES

13.2 ZERO-COUPON BOND (ZCB)

13.3 INTEREST RATE CURVE

13.4 INTEREST RATE SWAP (IRS)

Chapter 14: Arbitrage Pricing Theory

14.1 NUMÉRAIRE

14.2 MARTINGALES

14.3 RISK-NEUTRAL MEASURE

14.4 MONEY MARKET ACCOUNT

14.5 VALIDATOR ACCOUNT

14.6 STABLECOINS

Chapter 15: Cross-chain Asset Pricing

15.1 ON-OFF-CHAIN PRICING

15.1.1 Ex Post Valuation

15.1.2 Ex Ante Valuation

15.2 SIEGEL PARADOX

15.3 INTERCHAIN VALUATION

Chapter 16: Overview of Interest Rate Models

16.1 CIR MODEL

16.2 SABR MODEL

16.3 SVJC MODEL

16.4 HJM MODEL

Part Six: Staking Contract

Chapter 17: Direct Staking Contracts

17.1 DIRECT STAKING

17.2 WITH ACCRUAL

17.2.1 Ex Post Valuation

17.2.2 Ex Ante Valuation

17.3 NON-ACCRUAL

17.3.1 Ex Posts Valuation

17.3.2 Ex Ante Valuation

17.4 NON-ACCRUAL WITH QUEUE MECHANISMS.

17.4.1 Ex Post Valuation

17.4.2 Ex Ante Valuation

17.4.3 Queue Overrun Risk

Chapter 18: Other Staking Contracts

18.1 LIQUID STAKING

18.1.1 Liquid Staking Rewards

18.1.2 Pricing in LST Units

18.1.3 Protocol Value

18.1.4 Pricing Under Blockchain Measure

18.1.5 Pricing Only with Peg Risk

18.1.6 Pricing with Both LST Rate and Peg Risk

18.2 LIQUID RESTAKING

18.3 YIELD FARMING

18.3.1 Reward Paid in Native Coin

18.3.2 Reward Paid-in-kind

Afterword

Glossary

References

Disclaimer

About the Author

Index

EULA.

Notes:

Description based on publisher supplied metadata and other sources.

Part of the metadata in this record was created by AI, based on the text of the resource.

ISBN:

1-394-37009-1

1-394-37008-3

9781394370085