Perturbed Copula: Introducing the skew effect in the co-dependence

Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian copula approach allows introducing the skew information of both random variables into the co-dependence structure. The analytical expression of this copula is derived through an asymptotic expansion under the assumption of a common fast mean reverting stochastic volatility factor. This paper applies this new perturbed copula to the valuation of derivative products; in particular FX quanto options to a third currency. A calibration procedure to fit the skew of both underlying securities is presented. The action of the perturbed copula is interpreted compared to the Gaussian copula. A real worked example is carried out comparing both copulas and a local volatility model with constant correlation for varying maturities, correlations and skew configurations.Comment: 34 pages, 6 figures and 3 table

The Flow Fingerprinting Game

Linking two network flows that have the same source is essential in intrusion detection or in tracing anonymous connections. To improve the performance of this process, the flow can be modified (fingerprinted) to make it more distinguishable. However, an adversary located in the middle can modify the flow to impair the correlation by delaying the packets or introducing dummy traffic. We introduce a game-theoretic framework for this problem, that is used to derive the Nash Equilibrium. As obtaining the optimal adversary delays distribution is intractable, some approximations are done. We study the concrete example where these delays follow a truncated Gaussian distribution. We also compare the optimal strategies with other fingerprinting schemes. The results are useful for understanding the limits of flow correlation based on packet timings under an active attacker.Comment: Workshop on Information Forensics and Securit

Optimisation of post-drawing treatments by means of neutron diffraction

The mechanical properties and the durability of cold-drawn eutectoid wires (especially in aggressive environments) are influenced by the residual stresses generated during the drawing process. Steelmakers have devised procedures (thermomechanical treatments after drawing) attempting to relieve them in order to improve wire performance. In thiswork neutron diffraction measurements have been used to ascertain the role of temperature and applied force – during post-drawing treatments – on the residual stresses of five rod batches with different treatments. The results show that conventional thermomechanical treatments are successful in relieving the residual stresses created by cold-drawing, although these procedures can be improved by changing the temperature or the stretching force. Knowledge of the residual stress profiles after these changes is a useful tool to improve the thermomechanical treatments instead of the empirical procedures used currently

711: verdades y mentiras

Reseña de: García Sanjuán, Alejandro, La conquista islámica de la península Ibérica y la tergiversación del pasado, Madrid, Marcial Pons; 2013, 496 pp