Theory of Cryptocurrency Interest Rates

  title={Theory of Cryptocurrency Interest Rates},
  author={Dorje C. Brody and Lane P. Hughston and Bernhard K. Meister},
  journal={SIAM J. Financial Math.},
A term structure model in which the short rate is zero is developed as a candidate for a theory of cryptocurrency interest rates. The price processes of crypto discount bonds are worked out, along with expressions for the instantaneous forward rates and the prices of interest-rate derivatives. The model admits functional degrees of freedom that can be calibrated to the initial yield curve and other market data. Our analysis suggests that strict local martingales can be used for modelling the… Expand
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Chaos and coherence: a new framework for interest–rate modelling
  • D. Brody, L. Hughston
  • Mathematics
  • Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences
  • 2004
A set of elementary axioms for stochastic finance is presented wherein a prominent role is played by the state–price density, which in turn determines the stochastic dynamics of the interest–rateExpand