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Synthetic collateralized debt obligations, or synthetic CDOs, are popular vehicles for trading the credit risk of a portfolio of assets. Following a brief summary of the development of the synthetic CDO market, I draw on recent innovations in modeling to present a pricing model for CDO tranches that does not require Monte Carlo simulation. I use the model(More)
A design methodology for low power MOS distributed amplifiers (DAs) is presented. The bias point of the MOS devices is optimized so that the DA can be used as a low-noise amplifier (LNA) in broadband applications. A prototype 9-mW LNA with programmable gain was implemented in a 0.18m CMOS process. The LNA provides a flat gain, 21, of 8 0.6 dB from DC to 6.2(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(More)
It is widely believed that disclosure quality improves investors’ welfare by reducing cost of capital in a competitive market. This paper examines this conventional wisdom by studying a production economy in which disclosure influences a firm’s investment decisions. I demonstrate three points. First, cost of capital could increase with disclosure quality(More)
Ensuring security in wireless ad hoc networks is absolutely necessary and a must for any security-critical applications. In this paper, we report our progress in the development of an agent-based cooperative anomaly detection scheme for wireless ad hoc networks. The approach addresses the underlying distributed and cooperative nature of wireless ad hoc(More)
A design methodology is presented for low power distributed amplifiers and is used for the design of a mW LNA with programmable gain implemented in a m CMOS process. The LNA provides a gain of dB from DC to GHz, with an input match of dB and an output match of dB over the entire band. The IIP3 is dBm, and the NF ranges from to dB. The gain is tunable from(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)
We examine the relative yields of Treasuries and municipals using a generalized model that includes liquidity as a state factor. Using a unique transaction dataset, we are able to estimate the liquidity risk of municipals and its effect on bond yields. We find that a substantial portion of the maturity spread between longand short-maturity municipal bonds(More)