Paper of Dorje Brody on cryptocurrency interest rates published by SIAM

The paper “Theory of Cryptocurrency Interest Rates“, co-authored by Dorje Brody, Lane Hughston (Goldsmith’s College), and Bernhard Meister (Swansea University), has been published in the SIAM Journal of Financial Mathematics. In the paper a term structure model in which the short rate is zero is developed as a candidate for a theory of cryptocurrency interest rates. Their analysis suggests that strict local martingales can be used for modeling the pricing kernels associated with virtual currencies based on distributed ledger technologies. A link to the published paper is here and the picture below shows the headline data for the paper.