The Application of Neural Networks to the Pricing of Credit Derivatives

The present paper deals with a new approach to the pricing of credit derivatives, which are innovative financial instruments able to immunize a securities portfolio from the default risk of the issuers, using neural networks. After an essential analysis of the most important topics inherent to these nonlinear statistical instruments, particular emphasis, due to their diffusion, has been put on the characters of Credit Default Swaps and on the particularities of the structural and reduced form approaches proposed for their analysis. In the final part of the paper the effectiveness of neural networks in approximating the evaluation of credit derivatives and in improving the timing in the default prevision is illustrated.

Implementation and Evaluation of the Enhanced Header Compression (IPHC) according to 6LoWPAN Network

6LoWPAN defines how to carry Ipv6 packet over IEEE 802.15.4 low power wireless or sensor networks. Limited bandwidth, memory and energy resources require a careful application of Ipv6 in a LoWPAN network. The aim is to develop personal networks, mainly sensor based, that can be integrated to the existing wellknow network infrastructure by reusing mature and wideused technologies. IPv6 has been chosen as network protocol because its characteristics fit to the problematic that characterize LoWPAN environment such as the large number of nodes to address and stateless address autoconfiguration. However, an IPv6 header compression algorithm is necessary in order to reduce the overhead and save space in data payload. In fact, the IEEE 802.15.4 standard defines an MTU of 128 bytes that decrease to 102 bytes considering the frame overhead, a further reduction is due to the network and transport protocols frame overhead that, in case of Ipv6 and UDP, allow to carry only 33 bytes for application data. The aim of this work is to describe and compares the proposed Ipv6 header compression mechanisms for 6LoWPAN environments

New Architectures for ubiquitous networks : use and adaptation of internet protocols over wireless sensor networks

This thesis focuses on the study of low-resource demanding protocols, communication techniques and software solutions to evaluate, optimise and implement Web service in WSNs. We start analysing the Web service architectures in order to choose the most appropriate for the constraints of WSNs, which is REST. Based on this analysis, we review the state-of-the-art of protocols that allows implementing REST Web services. To this end, we adopt the IEEE 802.15.4 standard for the physical and data-link layers, 6LoWPAN for the network layer and CoAP for the application layer. 6LoWPAN defines two forwarding techniques, which are called mesh under (MU) and route over (RO). It also provides a mechanism to fragment packets, which is called 6LoWPAN fragmentation. In part of the thesis, we study the effects that MU and RO have on communications using 6LoWPAN fragmentation. In particular, MU does not prevent forwarding unnecessary fragments and out-of-order delivery, which could lead to an inefficient use of bandwidth and a growth of energy consumption. We propose, then, a novel technique able to improve the performance of MU with fragmented packets, which we refer to as controlled mesh under (CMU). The results of a performance evaluation in a real WSN show that CMU is able to enhance the performance of MU by reducing its packet loss and end-to-end delay. In 6LoWPAN fragmentation, the loss of a fragment forces the retransmission of the entire packet. To overcome this limitation, CoAP defines blockwise transfer. It splits the packet into blocks and sends each one in reliable transactions, which introduces a significant communication overhead. We propose a novel analytical model to study blockwise and 6LoWPAN fragmentation, which is validated trough Monte Carlo simulations. Both techniques are compared in terms of reliability and delay. The results show that 6LoWPAN fragmentation is preferable for delay-constrained applications. For highly congested networks, blockwise slightly outperforms 6LoWPAN fragmentation in terms of reliability. CoAP defines the observe option to allow a client to register to a resource exposed by a server and to receive updates of its state. Existing QoS in the observe option supports partially timeliness. It allows specifying the validity of an update but it does not guarantee its on-time delivery. This approach is inefficient and does not consider applications, i.e. e-health, that requires the delivery of an update within a deadline. With this limitation in mind, we design and evaluate a novel mechanism for update delivery based on priority. The evaluation proves that implementing a delivery order improves the delay and delivery ratio of updates. Our proposal is also able to reduce the energy consumption allowing clients to express the class of updates that they wish to receive. In part of this thesis, we present our original library for TinyOS, which we referred to as TinyCoAP, and the design and implementation of a CoAP proxy. We compare TinyCoAP to CoapBlip, which is the CoAP implementation distributed with TinyOS. TinyCoAP proves to be able to reach a high code optimization and to reduce the impact over the memory of WSN nodes. The evaluation includes also the analysis of the CoAP reliability mechanism, which was still uncovered in the literature. As a novelty, we also compare CoAP with HTTP considering different solutions for the transport layer protocol such as UDP and persistent TCP connections. The CoAP proxy enables Web applications to transparently access the resources hosted in CoAP devices. It supports long-lived communications by including the WebSocket protocol. It also supports Web applications that use the traditional HTTP long-polling technique. Finally, one of the main contributions of the proxy design is the proposal of a standard URI path format to be used by Web applications to access to a CoAP resource.Esta tesis se enfoca en el estudio de protocolos de bajo consumo, técnicas de comunicación y software con el fin de evaluar, optimizar y desarrollar servicios Web en WSNs. Empezamos analizando la arquitectura de servicios Web con el objetivo de elegir la arquitectura más apropiada debido a las limitaciones de WSNs. Ésta se denomina REST. En base a este análisis, revisamos el estado del arte de los protocolos que permiten desarrollar servicios Web. Con este objetivo adoptamos el estándar IEEE 802.15.4 por la capa física y de enlace, 6LoWPAN por la de red y CoAP por la capa de aplicación. 6LoWPAN define dos técnicas de enrutamiento, denominadas 'Mesh Under' (MU) y 'Route Over' (RO). Asimismo ofrece un mecanismo para fragmentar paquetes, llamado 6LoWPAN fragmentation. En parte de la tesis estudiamos los efectos que MU y RO tienen sobre la comunicación que utiliza 6LoWPAN fragmentation. En particular, MU no previene enrutar fragmentos innecesarios y la entrega fuera de orden, lo cual podría provocar un uso ineficiente de ancho de banda y un crecimiento del consumo energía. Proponemos entonces nueva técnica capaz de mejorar las prestaciones de MU con paquetes fragmentados que denominamos 'Controlled Mesh Under' (CMU). Los resultados de una evaluación en una WSN real demuestran que CMU es capaz de mejorar las prestaciones de MU reduciendo la pérdida de paquetes y el retraso end-to-end. En 6LoWPAN fragmentation, la pérdida de un fragmento causa la retransmisión del paquete entero. Para evitar esta limitación CoAP define blockwise transfer. Esto divide el paquete en bloques y los envía en comunicaciones fiables provocando overhead. Proponemos un nuevo modelo analítico para estudiar blockwise y 6LoWPAN fragmentation cuya validación se realiza mediante simulaciones de Monte Carlo. Ambas técnicas se comparan en términos de fiabilidad y retraso. Los resultados muestran que es preferible usar 6LoWPAN fragmentation para las aplicaciones con restricciones en retraso. Para las redes mas congestionadas, blockwise mejora ligeramente 6LoWPAN fragmentation en términos de fiabilidad. CoAP define la opción observe para permitir a un cliente registrarse a un recurso proporcionado por un servidor y recibir actualizaciones de su estado. La QoS ofrecida por la opción observe proporciona soporte parcial por el timeliness. Esta permite especificar la validez de una actualización pero no garantiza su entrega a tiempo. Este enfoque es ineficiente y no incluye aplicaciones, como por ejemplo e-health que requieren la entrega de las actualizaciones en un plazo determinado. Teniendo en cuenta esta limitación, diseñamos y evaluamos un mecanismo novedoso para la entrega de actualizaciones basada en la prioridad. La evaluación demuestra que la implementación de una orden de entrega mejora la tasa de llegada y el retraso de las actualizaciones. Nuestra propuesta es capaz de reducir el consumo de energía permitiendo a los clientes expresar el tipo de actualización que desean recibir. En parte de esta tesis presentamos nuestra librería original pro TinyOS a la que nos referimos como TinyCoAP, así como el diseño y desarrollo de un Proxy CoAP. Comparamos TinyCoAP a CoapBlip, que es la aplicación distribuida con TinyOS. TinyCoAP demuestra ser capaz de alcanzar una alta optimización de código y reducir el impacto sobre la memoria de nodos de WSNs. La evaluación también incluye el análisis de la fiabilidad de CoAP que no había sido estudiada en la literatura. Como novedad también comparamos CoAP con HTTP, considerando diferentes soluciones para el protocolo de transporte como UDP y conexiones TCP persistentes. El Proxy CoAP permite a las aplicaciones Web acceder de manera transparente a los recursos almacenados en dispositivos CoAP. Éste incluye el protocolo WebSocket, que permite el establecimiento de conexiones long-lived. También permite el uso de aplicaciones Web con la tradicional técnica HTTP long-pollin

Implementation and evaluation of Multi-hop routing in 6LoWPAN

6LoWPAN enables the transmission of IPv6 packets over LoWPAN networks. In order to make it possible, 6LoWPAN introduces an adaptation layer between network and link layers. This layer allows IPv6 packets to be adapted to the lower layers constraints. It provides fragmentation and reassembling of packets and header compression. It also can be involved in routing decisions. Depending on which layer is responsible of routing decisions 6LoWPAN divides routing in two categories: mesh under if the interested layer is the adaptation layer, route over if it is the network one. In this paper we compare the two routing solutions evaluating their performances in terms of end-to-end delay and round-trip time. All the performance evaluation has been realized in a real implementation of 6LoWPAN.Postprint (published version

Implementation and Evaluation of the Enhanced Header Compression (IPHC) according to 6LoWPAN Network

6LoWPAN defines how to carry Ipv6 packet over IEEE 802.15.4 low power wireless or sensor networks. Limited bandwidth, memory and energy resources require a careful application of Ipv6 in a LoWPAN network. The aim is to develop personal networks, mainly sensor based, that can be integrated to the existing wellknow network infrastructure by reusing mature and wideused technologies. IPv6 has been chosen as network protocol because its characteristics fit to the problematic that characterize LoWPAN environment such as the large number of nodes to address and stateless address autoconfiguration. However, an IPv6 header compression algorithm is necessary in order to reduce the overhead and save space in data payload. In fact, the IEEE 802.15.4 standard defines an MTU of 128 bytes that decrease to 102 bytes considering the frame overhead, a further reduction is due to the network and transport protocols frame overhead that, in case of Ipv6 and UDP, allow to carry only 33 bytes for application data. The aim of this work is to describe and compares the proposed Ipv6 header compression mechanisms for 6LoWPAN environments

Forwarding Techniques for IP Fragmented Packets in a Real 6LoWPAN Network

Wireless Sensor Networks (WSNs) are attracting more and more interest since they offer a low-cost solution to the problem of providing a means to deploy large sensor networks in a number of application domains. We believe that a crucial aspect to facilitate WSN diffusion is to make them interoperable with external IP networks. This can be achieved by using the 6LoWPAN protocol stack. 6LoWPAN enables the transmission of IPv6 packets over WSNs based on the IEEE 802.15.4 standard. IPv6 packet size is considerably larger than that of IEEE 802.15.4 data frame. To overcome this problem, 6LoWPAN introduces an adaptation layer between the network and data link layers, allowing IPv6 packets to be adapted to the lower layer constraints. This adaptation layer provides fragmentation and header compression of IP packets. Furthermore, it also can be involved in routing decisions. Depending on which layer is responsible for routing decisions, 6LoWPAN divides routing in two categories: mesh under if the layer concerned is the adaptation layer and route over if it is the network layer. In this paper we analyze different routing solutions (route over, mesh under and enhanced route over) focusing on how they forward fragments. We evaluate their performance in terms of latency and energy consumption when transmitting IP fragmented packets. All the tests have been performed in a real 6LoWPAN implementation. After consideration of the main problems in forwarding of mesh frames in WSN, we propose and analyze a new alternative scheme based on mesh under, which we call controlled mesh under

Strong reduction of the off-momentum halo in crystal assisted collimation of the SPS beam

A study of crystal assisted collimation has been continued at the CERN SPS for different energies of stored beams using 120 GeV/. c and 270 GeV/. c protons and Pb ions with 270 GeV/. c per charge. A bent silicon crystal used as a primary collimator deflected halo particles using channeling and directing them into the tungsten absorber. A strong correlation of the beam losses in the crystal and off-momentum halo intensity measured in the first high dispersion (HD) area downstream was observed. In channeling conditions, the beam loss rate induced by inelastic interactions of particles with nuclei is significantly reduced in comparison with the non-oriented crystal. A maximal reduction of beam losses in the crystal larger than 20 was observed with 270 GeV/. c protons. The off-momentum halo intensity measured in the HD area was also strongly reduced in channeling conditions. The reduction coefficient was larger than 7 for the case of Pb ions. A strong loss reduction was also detected in regions of the SPS ring far from the collimation area. It was shown by simulations that the miscut angle between the crystal surface and its crystallographic planes doubled the beam losses in the aligned crystal.peer-reviewe

Comparative results on collimation of the SPS beam of protons and Pb ions with bent crystals

New experiments on crystal assisted collimation have been carried out at the CERN SPS with stored beams of 120 GeV/. c protons and Pb ions. Bent silicon crystals of 2 mm long with about 170 μrad bend angle and a small residual torsion were used as primary collimators. In channeling conditions, the beam loss rate induced by inelastic interactions of particles with the crystal nuclei is minimal. The loss reduction was about 6 for protons and about 3 for Pb ions. Lower reduction value for Pb ions can be explained by their considerably larger ionization losses in the crystal. In one of the crystals, the measured fraction of the Pb ion beam halo deflected in channeling conditions was 74%, a value very close to that for protons. The intensity of the off-momentum halo leaking out from the collimation station was measured in the first high dispersion area downstream. The particle population in the shadow of the secondary collimator-absorber was considerably smaller in channeling conditions than for amorphous orientations of the crystal. The corresponding reduction was in the range of 2-5 for both protons and Pb ions.peer-reviewe

Observation of parametric X-rays produced by 400 GeV/c protons in bent crystals

Spectral maxima of parametric X-ray radiation (PXR) produced by 400 GeV/c protons in bent silicon crystals aligned with the beam have been observed in an experiment at the H8 external beam of the CERN SPS. The total yield of PXR photons was about 10-6 per proton. Agreement between calculations and the experimental data shows that the PXR kinematic theory is valid for bent crystals with sufficiently small curvature as used in the experiment. The intensity of PXR emitted from halo protons in a bent crystal used as a primary collimator in a circular accelerator may be considered as a possible tool to control its crystal structure, which is slowly damaged because of irradiation. The intensity distribution of PXR peaks depends on the crystal thickness intersected by the beam, which changes for different orientations of a crystal collimator. This dependence may be used to control crystal collimator alignment by analyzing PXR spectra produced by halo protons.peer-reviewe

A Proxy Design to Leverage the Interconnection of CoAP Wireless Sensor Networks with Web Applications

In this paper, we present the design of a Constrained Application Protocol (CoAP) proxy able to interconnect Web applications based on Hypertext Transfer Protocol (HTTP) and WebSocket with CoAP based Wireless Sensor Networks. Sensor networks are commonly used to monitor and control physical objects or environments. Smart Cities represent applications of such a nature. Wireless Sensor Networks gather data from their surroundings and send them to a remote application. This data flow may be short or long lived. The traditional HTTP long-polling used by Web applications may not be adequate in long-term communications. To overcome this problem, we include the WebSocket protocol in the design of the CoAP proxy. We evaluate the performance of the CoAP proxy in terms of latency and memory consumption. The tests consider long and short-lived communications. In both cases, we evaluate the performance obtained by the CoAP proxy according to the use of WebSocket and HTTP long-polling