Academy of Mathematics and Systems Science, CAS Colloquia & Seminars
Speaker:
戴民 教授, 新加坡国立大学
Inviter:
夏建明
Title:
Designing Stable Coins
Time & Venue:
2018.5.11 10:00-11:00 N613
Abstract:
Stable coins, which are cryptocurrencies pegged to other stable financial assets such as U.S. dollar, are desirable for blockchain networks to be used as public accounting ledgers for payment transactions and as crypto money market accounts for asset allocation involving cryptocurrencies, whereby being often called the "Holy Grail of cryptocurrency." However, existing cryptocurrencies are too volatile for these purposes. By using the option pricing theory, we design several dual-class structures that offer either fixed income stable coins (class A coins) pegged to a traditional currency or leveraged investment instruments (class B coins). We show that the class A coin has a volatility comparable to that of the average exchange rate of world currencies against U.S. dollar, and the class A′ coin is essentially pegged to U.S. dollar. When combined with insurance from a government, the design can also serve as a basis for issuing a sovereign cryptocurrency. This work is jointly with Yizhou Cao, Steven Kou, Lewei Li, and Chen Yang.