Whitepapers

Whitepapers (Foundational Series)

1) Evaluating Liquidity Provision Strategies for Automated Market Makers

Why read: When does AMM yield truly beat “just HODL”? This paper derives the hurdle where expected fees offset volatility drag (the impermanent-loss bite). Read on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4865295

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2) The LP Forward Contract: Quantifying Liquidity-Position Risk in DeFi

Why read: The first closed-form hedge for LP risk. Strips out AMM yield to price the pure “LP spot” via a forward—your building block for hedging desks. Read on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4867032

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3) Liquidity Position Options: Transforming DeFi with Novel Risk-Management Primitives

Why read: Introduces LP calls/puts and put-call parity for LPs (closed-form Black-Scholes after the power-½ transform). Enables IL caps, vol trading, and structured notes. Read on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4867034

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4) A Novel Financial Instrument for DeFi: Liquidity Protection Notes

Why read: Packages zero-coupon + LP options (+ optional yield) into a note format that funds up to 75% downside protection without inflationary emissions. Read on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4867036

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Citing this work

If you reference or adapt these models, please cite the relevant SSRN paper above and link to the docs hub: https://docs.exchequer.fi/

Contact for collaborations:

https://www.exchequer.fi/contact