Frank Zhang

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  • Gurdip Bakshi, Peter Carr, Liuren Wu, Nasir Afaf, Doron Avramov, David Backus +37 others
  • 2006
We develop models of stochastic discount factors in international economies that produce stochastic risk premiums and stochastic skewness in currency options. We estimate the models using time-series returns and option prices on three currency pairs that form a triangular relation. Estimation shows that the average risk premium in Japan is larger than that(More)
—Player satisfaction is particularly difficult to ensure in online games, due to interactions with other players. In adversarial multiplayer games, matchmaking typically consists in trying to match together players of similar skill level. However, this is usually based on a single skill value, and assumes the only factor of " fun " is the game balance. We(More)
—Intrusion detection, as a complementary mechanism to intrusion prevention, is necessary to secure wireless Mobile Ad hoc Networks (MANETs). In this paper we propose a practical agent-based distributed intrusion detection methodology for MANETs. A two-step intrusion detection procedure has been developed to effectively detect anomalies and identify attack(More)
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