Financial Mathematics for Cryptocurrencies - Hardcover

by Tom Espel (Author)

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 the crypto markets. Espel draws on his extensive experience in frontier assets to explain the analytical frameworks you'll need to make informed investment decisions, identify pricing opportunities, and manage risk in this volatile asset class.

The book adapts relevant quantitative finance methodologies specifically for digital assets, bridging the gap between traditional financial mathematics and the distinctive characteristics of blockchain-based instruments. Espel introduces three essential constructs for DeFi pricing theory: network time, the validator account as a new numéraire, and wrapped token frameworks for cross-chain valuation. Its modular structure allows readers to navigate directly to relevant sections, covering everything from blockchain fundamentals to advanced valuation models, staking contract mathematics, and liquidity cost analysis in cryptocurrency markets.

You'll find:

• Mathematical frameworks for staking contracts, liquid staking derivatives, and yield farming strategies with rigorous ex-ante and ex-post valuations
• Comprehensive coverage of network valuation methods including Metcalfe's Law, Reed's Law, and the ZBOT framework specifically applied to digital assets
• Pricing theory extending arbitrage-free pricing to blockchain assets through the validator account and blockchain measure (B-measure)
• Expert insights from an author specializing in quantitative strategies for electronic and illiquid assets, with expertise in market microstructure and volatility modeling
• Accessible mathematical solutions designed for practitioners in applied mathematics and quantitative finance, with clear and rigorous explanations

Perfect for quantitative analysts, traders, portfolio managers, cryptocurrency researchers, and finance students, Financial Mathematics for Cryptocurrencies is an indispensable resource for applying established financial mathematics to the digital asset ecosystem. It's a must-read for everyone developing trading algorithms and pricing models, conducting digital asset analysis, or researching cryptocurrency markets.

Front Jacket

In Financial Mathematics for Cryptocurrencies, quantitative strategist Tom J. Espel applies traditional quantitative finance to the distinctive characteristics of blockchain-based instruments. Espel draws on his experience in alpha research, market-making, and high-frequency trading across London, Hong Kong, and Singapore to adapt relevant quantitative finance methodologies specifically to digital assets.

The book introduces three essential constructs for DeFi pricing theory: network time, the validator account as a new num?raire, and wrapped token frameworks for cross-chain valuation, providing readers with the analytical frameworks needed to navigate the unique mathematical challenges posed by crypto markets.

Financial Mathematics for Cryptocurrencies offers mathematical frameworks for staking contracts, liquid staking derivatives, and yield farming strategies with rigorous ex-ante and ex-post valuations. Readers will find comprehensive coverage of network valuation methods including Metcalfe's Law, Reed's Law, and the ZBOT framework specifically applied to digital assets, alongside pricing theory that extends arbitrage-free pricing to blockchain assets through the validator account and blockchain measure. The book's modular structure allows readers to navigate directly to relevant sections, covering everything from blockchain fundamentals to advanced valuation models and liquidity cost analysis in cryptocurrency markets, all presented with clear and rigorous explanations designed for practitioners.

Perfect for quantitative analysts, high-frequency traders, portfolio managers, cryptocurrency researchers, and finance students, Financial Mathematics for Cryptocurrencies is an indispensable resource for anyone developing trading algorithms and pricing models, conducting digital asset analysis, or researching cryptocurrency markets. This book equips you with the quantitative tools and mathematical frameworks necessary to successfully invest in and trade digital assets in an increasingly regulated and sophisticated market environment.

Back Jacket

LEVEL-UP YOUR DIGITAL ASSET INVESTING AND TRADING CAPABILITIES WITH THIS AUTHORITATIVE GUIDE TO PRICING CRYPTOCURRENCIES

Financial Mathematics for Cryptocurrencies, by quantitative strategist and market researcher Tom J. Espel, applies rigorous and up-to-date pricing models and theory to digital assets, blockchains, and crypto. The author draws on his extensive experience in frontier assets to explain the analytical frameworks you'll need to make informed investment decisions, identify pricing opportunities, and manage risk in this volatile asset class.

The book walks you through the foundations of robust DeFi pricing theory: network time, the validator account as a new num?raire, and wrapped token frameworks for cross-chain valuation. Its modular structure covers mathematical frameworks for staking contracts and liquid staking derivatives, comprehensive network valuation methods including Metcalfe's Law and Reed's Law, pricing theory extending arbitrage-free principles to blockchain assets, and liquidity cost analysis in cryptocurrency markets. Each topic is presented with rigorous and accessible explanations designed specifically for practitioners in applied mathematics and quantitative finance.

Whether you're a quantitative analyst, trader, portfolio manager, cryptocurrency researcher, or finance student, Financial Mathematics for Cryptocurrencies provides the essential mathematical tools you need to succeed in digital asset markets.

Author Biography

TOM J. ESPEL is a quantitative strategist who specializes in research and risk management in electronic and illiquid assets. He has experience working in Europe and Asia in alpha research, market-making pricing, and high-frequency trading. Espel's work on digital and illiquid asset management is frequently published in peer-reviewed journals.