3 papers in the archive (2025–2026), average empirical rigor 7/10, average math complexity 5.3/10. Quadrant mix: Holy Grail ×2, Street Traders ×1.
Works mostly in Crypto Markets & DeFi, Risk Management & Tail Risk, Insurance & Actuarial Risk, Volatility Modeling & Forecasting.
Frequent co-authors: Carolina Goldstein (2).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
This paper measures price differences between Hegic option quotes on Arbitrum and a model-based benchmark built on Black–Scholes model with regime-sensitive volatility estimated via a two-regime MS-AR-(GJR)-GARCH model. Using option-level feasible GLS, we find benchmark prices exceed Hegic quotes o
We derive five tractable credit risk metrics for DeFi lending vault depositors, grounded in a formal three level decomposition of vault risk into mechanical loss channels (Level 1), governance quality (Level 2) and smart contract code integrity (Level 3). For Level 1, we show that six structural fea
This paper maps the emerging market for decentralized credit in which ERC 4626 vaults and third-party curators, rather than monolithic lending protocols alone, increasingly determine underwriting and leverage decisions. We show that modular vaults differ in capital utilization, cross-chain and cross