1. Blockchains, Distributed Ledgers, Cryptography and the rise of Bitcoin.
2. Smart Contracts, the Ethereum Network and AMMs
3. Decentralized Exchange (DEX): a deep dive of Uniswap V2 and V3.
4. Analytics of Liquidity Pools in Uniswap V3 using Python.
5. Quantitative Models for AMMs and key market statistical characteristics.
6. Balancer Protocol.
7. Models for stable coins.
8. Mechanics of Lending Protocols – liquidations.- Lecturer: Katia Babbar
Syllabus:
1. Blockchains, Distributed Ledgers, Cryptography and the rise of Bitcoin
2. Smart Contracts and the Ethereum Network:
a. creation of financial primitives (lending, swapping, investing on chain) and
their collaterization mechanism
b. accessing smart contract data via Etherscan and the Graph
c. new risks: smart contract risks
3. Models for stable coins and CBDCs
a. Different stable coin models and liquidation risks: fiat-collateralized
(USDT/USDC), cyrpto-collateralized (DAI), more risky non-collateralized
algorithmic sablecoins (AMPL)
b. A stochastic model for stablecoins (Key findings Minca paper)
4. Automated Market Makers (AMMs) / Constant Function Market Makers
(CFMMs) dynamics:
a. Spot/Futures/Perpetuals - swapping digital assets: Liquidity pools in
Decentralized Exchange (DEX) such as Uniswap and Balancer
b. Lending digital assets: Compound and Aave as DEX for lending
5. Quantitative Models for CFMMs and key market statistical characteristics
6. Hybrid model of AMMs and Central Limit Order Books
a. AMMs as discrete order books
b. Off-chain/ on-chain combinations
7. More complex products on-chain: Options and tokenized investment strategies
from yield farming
8. Liquidation and systemic risks of DeFi / Digital Assets Ecosystems, including
regulatory risk requirements (*by 2023 there will be some!)