摘要翻译:
Arora、Barak、Brunnermeier和Ge表明,考虑到计算复杂性,不诚实的卖方可以战略性地将柠檬放在金融衍生品中,使它们对买方的价值大大降低。我们证明,如果卖方被要求构造某种形式的导数,那么这种现象就消失了。特别地,我们定义并构造了伪随机导数族,对于伪随机导数族,lemon的放置只对导数的值有轻微的影响。我们的构造使用扩展图。我们在一个比Arora等人更一般的背景下研究我们的导数。特别是,当基础资产可能有重大依赖性时,我们分析普通抵押债务义务的任意部分。
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英文标题:
《Certifiably Pseudorandom Financial Derivatives》
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作者:
David Zuckerman
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最新提交年份:
2019
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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一级分类:Computer Science 计算机科学
二级分类:Computational Complexity 计算复杂度
分类描述:Covers models of computation, complexity classes, structural complexity, complexity tradeoffs, upper and lower bounds. Roughly includes material in ACM Subject Classes F.1 (computation by abstract devices), F.2.3 (tradeoffs among complexity measures), and F.4.3 (formal languages), although some material in formal languages may be more appropriate for Logic in Computer Science. Some material in F.2.1 and F.2.2, may also be appropriate here, but is more likely to have Data Structures and Algorithms as the primary subject area.
涵盖计算模型,复杂度类别,结构复杂度,复杂度折衷,上限和下限。大致包括ACM学科类F.1(抽象设备的计算)、F.2.3(复杂性度量之间的权衡)和F.4.3(形式语言)中的材料,尽管形式语言中的一些材料可能更适合于计算机科学中的逻辑。在F.2.1和F.2.2中的一些材料可能也适用于这里,但更有可能以数据结构和算法作为主要主题领域。
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英文摘要:
Arora, Barak, Brunnermeier, and Ge showed that taking computational complexity into account, a dishonest seller could strategically place lemons in financial derivatives to make them substantially less valuable to buyers. We show that if the seller is required to construct derivatives of a certain form, then this phenomenon disappears. In particular, we define and construct pseudorandom derivative families, for which lemon placement only slightly affects the values of the derivatives. Our constructions use expander graphs. We study our derivatives in a more general setting than Arora et al. In particular, we analyze arbitrary tranches of the common collateralized debt obligations (CDOs) when the underlying assets can have significant dependencies.
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PDF链接:
https://arxiv.org/pdf/1006.0469