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Marcus Wunsch

ZHAW School of Management and Law

Technoparkstrasse 2

Winterthur, 8400

Switzerland

  • ZHAW School of Management and Law

SCHOLARLY PAPERS

3

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1,468

TOTAL CITATIONS

8

Scholarly Papers (3)

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1.

Weighted variance swaps hedge against Impermanent Loss

Number of pages: 24 Posted: 03 May 2022
Masaaki Fukasawa, Basile Maire and Marcus Wunsch
The University of Osaka, Desma Eight, LLC and ZHAW School of Management and Law
Downloads 1,012 (55,835)
Citation 8

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Digital currencies, impermanent loss, decentralized exchanges, weighted variance swaps

2.

Moment Estimators for Autocorrelated Time Series and Their Application to Default Correlations

Journal of Credit Risk 14 (2018), 1-29
Number of pages: 25 Posted: 10 May 2017 Last Revised: 19 Mar 2018
Christoph Frei and Marcus Wunsch
University of Alberta - Department of Mathematical and Statistical Sciences and ZHAW School of Management and Law
Downloads 307 (249,561)

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autocorrelation, credit risk, latent asset return correlation, method of moments

3.

Model-Free Hedging of Impermanent Loss in Geometric Mean Market Makers

Number of pages: 21 Posted: 04 Apr 2023
Masaaki Fukasawa, Basile Maire and Marcus Wunsch
The University of Osaka, Desma Eight, LLC and ZHAW School of Management and Law
Downloads 149 (500,001)

Abstract:

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digital currencies, automated market makers, Impermanent Loss, decentralized exchanges, divergence loss