6. Readings | Notion

Academic

Unified Approach for Hedging Impermanent Loss Authors: Lipton, Lucic, Sepp (2024) Link: https://arxiv.org/html/2407.05146v1 Focus: IL hedging strategies, static/dynamic replication
Market Neutral Liquidity Provision Authors: Maire & Wunsch (2024) Link: https://digitalcollection.zhaw.ch/server/api/core/bitstreams/f3d02f7f-8953-408c-b73d-dad149231449/content Focus: Empirical study using on-chain options and futures for hedging
Risk-Neutral Pricing Model of Uniswap V3 Authors: Hou et al. (2024) Link: https://arxiv.org/html/2411.12375v3 Focus: Greeks management, pricing models

Implementation

Uniswap Delta Neutral Strategy Implementation Author: Zelos Research (2023) Link: https://medium.com/zelos-research/how-to-implement-uniswap-delta-neutral-strategy-with-lending-protocol-eee10371a77f Performance: 9.6-14.4% APY
Delta-Neutral Liquidity Provisioning Author: OpenBlock Labs (2023) Link: https://www.openblocklabs.com/research/money-talks-delta-neutral-liquidity-provisioning Performance: 16.8% APY even during 40% drawdowns

Guides