Journal article

Interest rate models in decentralised lending protocols

Abstract:: We characterise the equilibrium between borrowers and lenders in a decentralised lending protocol (DLP). Using this equilibrium characterisation, we develop a methodology for a DLP to update the interest rate model (IRM) in order to move the proportion of liquidity being borrowed towards a desired level of utilization. Finally, we run experiments to assess the performance of the proposed methodology when the DLP does not know the supply and demand curves, and when there are changes in the environment.

Publication status:: Accepted

Peer review status:: Peer reviewed

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APA Style

Cohen, S. N., Sanchez Betancourt, L., & Szpruch, L. (2026). Interest rate models in decentralised lending protocols. Digital Finance.

MLA Style

Cohen, SN, et al. “Interest Rate Models in Decentralised Lending Protocols.” Digital Finance, 2026.

Chicago Style

Cohen, SN, L Sanchez Betancourt, and L Szpruch. 2026. “Interest Rate Models in Decentralised Lending Protocols.” Digital Finance.
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Authors

+ Cohen, SN More by this author

Institution:: University of Oxford
Division:: MPLS
Department:: Mathematical Institute
Role:: Author
ORCID:: 0000-0003-0539-6414

+ Sanchez Betancourt, L More by this author

Institution:: University of Oxford
Division:: MPLS
Department:: Mathematical Institute
Role:: Author
ORCID:: 0000-0001-6447-7105

+ Szpruch, L More by this author

Role:: Author

+ Engineering and Physical Sciences Research Council More from this funder

Funder identifier:: https://ror.org/0439y7842
Grant:: EP/V056883/1

+ University of Oxford More from this funder

Funder identifier:: https://ror.org/052gg0110

+ The Alan Turing Institute More from this funder

Funder identifier:: https://ror.org/035dkdb55

Publisher:: Springer
Journal:: Digital Finance More from this journal
Acceptance date:: 2026-06-16
EISSN:: 2524-6984
ISSN:: 2524-6186

Language:: English
Keywords:: decentralized lending

interest rate model

demand estimation

financial technology

equilibrium utilisation
Pubs id:: 2434238
Local pid:: pubs:2434238
Deposit date:: 2026-06-17
ARK identifier:: ark:/29072/ora_89b21eb740464742a2723ed104b9c38c

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