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Derivatives on crypto assets in decentralized finance (DeFi) space

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On 6 June, we hosted our QuantMinds Edge: Alpha & Quant investing virtual event in which experts explore and shared their expertise on applying machine learning techniques to alpha models, systematic trading strategies, the latest developments in cryptocurrencies & sentiment analysis, natural language processing and more.

Artur Sepp is Head Systematic Solutions and Portfolio Construction at Sygnum Bank's Asset Management in Zurich, specializing in crypto assets and decentralized finance. His session at QuantMinds Edge covered derivatives on Crypto Assets in Decentralized Finance (DeFi) Space and touched upon:

  • Liquid crypto derivatives in DeFi
  • Comparison with traditional finance: pricing by replication vs supply/demand equilibrium
  • Examples: perpetual swaps and futures, vanilla and inverse options, perpetual power futures, forward-starting straddles
  • Quantitative approach for arbitrage-free valuation and replication on crypto assets

Watch the full sessions below:

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