173
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SIAMFM
2011
14 years 10 months ago
2011
As shown by the recent turmoil in credit markets, much remains to be done for the proper risk management of credit derivatives. In particular, the static copula-based models commo...
167
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SIAMFM
2011
14 years 10 months ago
2011
We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underly...
222
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SIAMCOMP
2011
14 years 10 months ago
2011
The Gibbard-Satterthwaite theorem states that every non-dictatorial election rule among at least three alternatives can be strategically manipulated. We prove a quantitative versi...
241
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SIAMCOMP
2011
14 years 10 months ago
2011
We consider the problem of testing graph expansion (either vertex or edge) in the bounded degree model [10]. We give a property tester that given a graph with degree bound d, an ex...