Cyril Grunspan

@article{grunspan_1423,

title = {On Profitability of Nakamoto double spend},

author = {Cyril Grunspan and Ricardo Pérez-Marco},

url = {https://www.cambridge.org/core/journals/probability-in-the-engineering-and-informational-sciences/article/abs/on-profitability-of-nakamoto-double-spend/4DF05998AA2F76EAB5D3AF2D181AE584},

year  = {2022},

date = {2022-06-01},

journal = {Probability In The Engineering And Informational Sciences},

volume = {36},

number = {3},

pages = {732-746},

abstract = {x},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grunspan_1762,

title = {Blockchain and cryptocurrencies: economic and financial research},

author = {Cyril Grunspan and Alessandra Cretarola and Gianna Figà-Talamanca},

url = {https://doi.org/10.1007/s10203-021-00366-3},

year  = {2021},

date = {2021-12-01},

journal = {Decisions in Economics and Finance},

volume = {44},

pages = {781-78},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grunspan_1214,

title = {Effective asymptotic analysis for finance},

author = {Cyril Grunspan and Joris Van Der Hoeven},

url = {https://www.worldscientific.com/doi/10.1142/S0219024920500132},

year  = {2020},

date = {2020-03-01},

journal = {International Journal of Theoretical and Applied Finance},

volume = {23},

number = {2},

pages = {2050013},

abstract = {It is known that an adaptation of Newton's method allows for the computation of functional inverses of formal power series. We show that it is possible to successfully use a similar algorithm in a fairly general analytical framework. This is well suited for functions that are highly tangent to identity and that can be expanded with respect to asymptotic scales of ?exp-log functions?. We next apply our algorithm to various well-known functions coming from the world of quantitative finance. In particular, we deduce asymptotic expansions for the inverses of the Gaussian and the Black-Scholes pricing functions.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grunspan_560,

title = {Double Spend Races},

author = {Cyril Grunspan and Ricardo Pérez-Marco},

url = {https://www.worldscientific.com/doi/abs/10.1142/S021902491850053X},

year  = {2018},

date = {2018-11-21},

journal = {International Journal of Theoretical and Applied Finance},

volume = {21},

number = {8},

pages = {1850053},

abstract = {We correct the double spend race analysis given in Nakamoto's foundational Bitcoin article and find the exact closed-form formula for the probability of success of a double spend attack using the regularized incomplete beta function. We give the first proof of its exponential decay on the number of confirmations, often cited in the literature, and find an asymptotic formula. Larger number of confirmations are required compared to those given by Nakamoto. We also compute this probability conditional to the knowledge of the time of the confirmations. This provides a finer risk analysis than the classical one.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{braouezec_11,

title = {Option Pricing Bounds in a Finite Market Model: A Simple Geometric Approach Using Barycentric Coordinates},

author = {Yann Braouezec and Cyril Grunspan},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0377221715007614?via%3Dihub},

year  = {2016},

date = {2016-02-01},

journal = {European Journal Of Operational Research},

volume = {249},

number = {1},

pages = {p270-p280},

abstract = {We use a simple geometric approach to obtain the bounds of a given option's contract in a finite market model, and this requires to determine a sequence of convex hulls in a multiperiod model. Our approach allows us not only to graphically visualize the option pricing bounds, but also to obtain a very simple proof of the equivalence between the existence of a particular martingale measure and the absence of arbitrage for a given option's contract.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}