NUS Quantitative Finance Joint Seminar Series (Webinar)
NUS Quantitative Finance Joint Seminar Series (Webinar)
This webinar is jointly organised by Risk Management Institute and Centre for Quantitative Finance
Programme
Title: Fundamental Pricing of Utility Tokens
Julien Prat (CREST, Paris, France)
Abstract: We propose a framework for the fundamental valuation of utility tokens. Our model endogenizes the velocity of circulation of tokens and yields a pricing formula that is fully microfounded. According to our model, tokens are valuable because they have to be immediately accessible when the services are needed, a requirement that is reminiscent of the cash-in-advance constraint. The equilibrium price paths of successful projects go through two successive phases: A speculative phase where marginal holders are investors that do not intend to use the services and, later on, a user phase where all tokens are held by clients. Calibrating the model, we find that it helps rationalizing the extreme volatility and significant valuation of tokens early on during the adoption stage.
About the Speaker
Prof Julien Prat is an economist working on Blockchains, contract theory, macroeconomics and labor economics. He is a 2004 Ph.D. graduate from the economics department of the European University Institute. He is currently working as a CNRS director of research at CREST, and an associate professor at the Ecole Polytechnique. Previously, he held assistant professorship positions at the University of Vienna and at the Institute for Economic Analysis (CSIC) in Barcelona.
For more information on all our workshops & seminars, please visit Risk Management Institute website.
For enquiries, please contact Sinta Yowendra at sintayo@nus.edu.sg
Copyright 2006-2021 © NUS Risk Management Institute