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Cornell University
(819 results)-
White Papers
GPGPUs In Computational Finance: Massive Parallel Computing For American Style Options
January 18, 2011, 12:00am PST
The pricing of American style and multiple exercise options is a very challenging problem in mathematical finance. One usually employs a Least-Square Monte Carlo approach (Longstaff-Schwartz...
Provided by Cornell University
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White Papers
Sensitivity Analysis Of The Early Exercise Boundary For American Style Of Asian Options
January 16, 2011, 12:00am PST
In this paper, the authors analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying...
Provided by Cornell University
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White Papers
Bayesian Estimation Of GARCH Model With An Adaptive Proposal Density
December 30, 2010, 12:00am PST
A Bayesian estimation of a GARCH model is performed for US Dollar/ Japanese Yen exchange rate by the Metropolis-Hastings algorithm with a proposal density given by the adaptive construction...
Provided by Cornell University
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White Papers
On The Existence Of Bertrand-nash Equilibrium Prices Under Logit Demand
December 28, 2010, 12:00am PST
This paper presents a proof of the existence of Bertrand-Nash equilibrium prices with multi-product firms and under the Logit model of demand that does not rely on restrictive assumptions on...
Provided by Cornell University
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White Papers
Marking Systemic Portfolio Risk With Application To The Correlation Skew Of Equity Baskets
June 15, 2011, 12:00am PDT
The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high...
Provided by Cornell University
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White Papers
On Query Algebras for Probabilistic Databases
December 18, 2008, 12:00am PST
This paper proposes core query algebra for probabilistic databases. In essence, this core is part of the query languages of most probabilistic database systems proposed so far, but is sometimes...
Provided by Cornell University
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White Papers
American Step-Up And Step-Down Credit Default Swaps Under Levy Models
December 26, 2010, 12:00am PST
This paper studies the valuation of a class of Credit Default Swaps (CDSs) with the embedded option to switch to a different premium and notional principal any time prior to a credit event. These...
Provided by Cornell University
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White Papers
Insider Trading In The Market With Rational Expected Price
December 10, 2010, 12:00am PST
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An...
Provided by Cornell University
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White Papers
Financial Markets With Volatility Uncertainty
December 15, 2010, 12:00am PST
The authors investigate financial markets under model risk caused by uncertain volatilities. For this purpose they consider a financial market that features volatility uncertainty. To have a...
Provided by Cornell University
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White Papers
Robust Estimation Of Operational Risk
March 15, 2011, 12:00am PDT
Operational risk according to Basel II (2006) covers risks of loss resulting from inadequate or failed internal processes, people or systems, or from external events. Neither is this risk new, nor...
Provided by Cornell University
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White Papers
Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?
November 30, 2010, 12:00am PST
Do we know if a short selling ban or a Tobin Tax results in more stable asset prices? Or do they in fact make things worse? Just like medicine regulatory measures in financial markets aim at...
Provided by Cornell University
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White Papers
Principal Regression Analysis And The Index Leverage Effect
February 18, 2011, 12:00am PST
The authors revisit the index leverage effect that can be decomposed into a volatility effect and a correlation effect. The authors investigate the latter using a matrix regression analysis, that...
Provided by Cornell University
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White Papers
Cost Objective PLM And CE
November 25, 2010, 12:00am PST
Concurrent engineering taking into account product life-cycle factors seems to be one of the industrial challenges of the next years. Cost estimation and management are two main strategic tasks...
Provided by Cornell University
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White Papers
Calibration Of One- And Two-Factor Models For Valuation Of Energy Multi-Asset Derivative Contracts
November 23, 2010, 12:00am PST
The authors study historical calibration of one- and two-factor models that are known to describe relatively well the dynamics of energy underlyings such as spot and index natural gas or oil...
Provided by Cornell University
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White Papers
Risk-Neutral Pricing Of Financial Instruments In Emission Markets
November 16, 2010, 12:00am PST
The authors present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed hybrid model is positioned between existing complex full...
Provided by Cornell University
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White Papers
Reduced Form Models Of Bond Portfolios
November 16, 2010, 12:00am PST
The authors derive simple return models for several classes of bond portfolios. With only one or two risk factors the models are able to explain most of the return variations in portfolios of...
Provided by Cornell University
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White Papers
A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations
November 11, 2010, 12:00am PST
The authors construct normed spaces of real-valued functions with controlled growth on possibly infinite-dimensional state spaces such that semigroups of positive, bounded operators (Pt)t¡Ý0...
Provided by Cornell University
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White Papers
Ruin Probability In The Presence Of Risky Investments
November 5, 2010, 12:00am PDT
It is well known that the analysis of activity of an insurance company in conditions of uncertainty is of great importance. Starting from the classical papers of Cramer and Lundberg which first...
Provided by Cornell University
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White Papers
Storage Option An Analytic Approach
June 8, 2011, 12:00am PDT
The mathematical problem of the static storage optimisation is formulated and solved by means of a variational analysis. The solution obtained in implicit form is shedding light on the most...
Provided by Cornell University
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White Papers
Financial Correlations At Ultra-High Frequency: Theoretical Models And Empirical Estimation
February 2, 2011, 12:00am PST
A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. The authors focus in particular on the dependence of correlations on time...
Provided by Cornell University
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White Papers
Parsimonious HJM Modelling For Multiple Yield-curve Dynamics
November 4, 2010, 12:00am PDT
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led...
Provided by Cornell University
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White Papers
Hedging Pure Endowments With Mortality Derivatives
November 1, 2010, 12:00am PDT
In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. Systematic mortality...
Provided by Cornell University
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White Papers
Entering New Markets-A Challenge In Times Of Crisis
October 28, 2010, 12:00am PDT
After September 2008, the advanced economies severe decline caused demand for emerging economies' exports to drop and the crisis became truly global, much deeper and broader than expected. In...
Provided by Cornell University
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White Papers
Time-Changed Fast Mean-Reverting Stochastic Volatility Models
October 26, 2010, 12:00am PDT
The authors introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, they derive an...
Provided by Cornell University
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White Papers
Ordering Of Multivariate Probability Distributions With Respect To Extreme Portfolio Losses
October 25, 2010, 12:00am PDT
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation...
Provided by Cornell University
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White Papers
An Algebraic Compression Framework for Query Results
January 1, 2011, 12:00am PST
Decision-support applications in emerging environments require that SQL query results or intermediate results be shipped to clients for further analysis and presentation. These clients may use low...
Provided by Cornell University
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White Papers
A Time Before Which Insiders Would Not Undertake Risk
December 23, 2010, 12:00am PST
A continuous-path semimartingale market model with wealth processes discounted by a riskless asset is considered. The numeraire portfolio is the unique strictly positive wealth process that, when...
Provided by Cornell University
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White Papers
An Efficient, Distributable, Risk Neutral Framework For CVA Calculation
September 28, 2010, 12:00am PDT
The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit Value Adjustment (CVA) is...
Provided by Cornell University
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White Papers
On Calibrating Stochastic Volatility Models With Time-Dependent Parameters
October 7, 2010, 12:00am PDT
The authors consider stochastic volatility models using piecewise constant parameters. They suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some...
Provided by Cornell University
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White Papers
How Sensitive Are Equilibrium Pricing Models To Real-World Distortions?
September 30, 2010, 12:00am PDT
In both finance and economics, quantitative models are usually studied as isolated mathematical objects - most often defined by very strong simplifying assumptions concerning rationality,...
Provided by Cornell University
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White Papers
Density Quantization Method In The Optimal Portfolio Choice With Partial Observation Of Stochastic Volatility
September 30, 2010, 12:00am PDT
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering -...
Provided by Cornell University
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White Papers
On Dependence Of The Implied Volatility On Returns For Stochastic Volatility Models
March 20, 2011, 12:00am PDT
The authors study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, they consider the conditional...
Provided by Cornell University
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White Papers
Financial LPPL Bubbles With Mean-Reverting Noise In The Frequency Domain
February 1, 2011, 12:00am PST
The Log-Periodic Power Law (LPPL) is a model of asset prices during endogenous bubbles. A major open issue is to verify the presence of LPPL in price sequences and to estimate the LPPL parameters....
Provided by Cornell University
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White Papers
Semi-Closed Form Cubature And Applications To Financial Diffusion Models
September 24, 2010, 12:00am PDT
Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka and Lyons - Victoir, involve the solution to numerous auxiliary ordinary differential equations. With focus on the...
Provided by Cornell University
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White Papers
A Three Dimensional Stochastic Model For Claim Reserving
September 21, 2010, 12:00am PDT
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a...
Provided by Cornell University
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White Papers
On The Savety Loading For Chain Ladder Estimates: A Monte Carlo Simulation Study
September 21, 2010, 12:00am PDT
A method for analysing the risk of taking a too low reserve level by use of Chain Ladder method is developed. The authors give an answer to the question of how much safety loading in terms of the...
Provided by Cornell University
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White Papers
About The Justification Of Experience Rating: Bonus Malus System And A New Poisson Mixture Model
September 21, 2010, 12:00am PDT
The claim experience of the past is very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance...
Provided by Cornell University
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White Papers
Scaling Portfolio Volatility And Calculating Risk Contributions In The Presence Of Serial Cross-Correlations
May 26, 2011, 12:00am PDT
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under...
Provided by Cornell University
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White Papers
Dynamic Portfolio Optimization With A Defaultable Security And Regime Switching
April 30, 2011, 12:00am PDT
The authors consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable...
Provided by Cornell University
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White Papers
Density Approximations For Multivariate Affine Jump-diffusion Processes
April 28, 2011, 12:00am PDT
The authors introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which they develop in...
Provided by Cornell University
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Whitepapers
Opinion Mining for Relating Subjective Expressions and Annual Earnings in US Financial Statements
October 15, 2012, 12:00am PDT
Financial statements contain quantitative information and manager's subjective evaluation of firm's financial status. Using information released in U.S. 10-K filings. Both qualitative and...
Provided by Cornell University
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Whitepapers
Location-Based Events Detection on Micro-Blogs
October 15, 2012, 12:00am PDT
The increasing use of social networks generates enormous amounts of data that can be used for various types of analysis. Some of these data have temporal and geographical information, which can be...
Provided by Cornell University
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Whitepapers
A Map-Reduce Parallel Approach to Automatic Synthesis of Control Software
October 11, 2012, 12:00am PDT
Many Control Systems are indeed Software Based Control Systems, i.e. control systems whose controller consists of control software running on a microcontroller device. This motivates investigation...
Provided by Cornell University
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Whitepapers
Investigating Decision Support Techniques for Automating Cloud Service Selection
October 6, 2012, 12:00am PDT
The compass of Cloud infrastructure services advances steadily leaving users in the agony of choice. To be able to select the best mix of service offering from an abundance of possibilities, users...
Provided by Cornell University
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Whitepapers
Providing an Object Allocation Algorithm in Distributed Databases Using Efficient Factors
October 5, 2012, 12:00am PDT
Data replication is a common method used to improve the performance of data access in distributed database systems. In this paper, the authors present an Object Replication Algorithm in...
Provided by Cornell University
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Whitepapers
Local Search Is Better Than Random Assignment for Bounded Occurrence Ordering K-CSPs
October 5, 2012, 12:00am PDT
The authors prove that the Bounded Occurrence Ordering k-CSP Problem is not approximation resistant. They give a very simple local search algorithm that always performs better than the random...
Provided by Cornell University
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Whitepapers
Sudoku as a Special Transportation Problem
October 9, 2012, 12:00am PDT
Sudoku is a popular combinatorial puzzle. A new method of solving Sudoku is presented, which involves formulating a puzzle as a special type of transportation problem. This model allows one to...
Provided by Cornell University
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Whitepapers
Scheduling Resources for Executing a Partial Set of Jobs
October 10, 2012, 12:00am PDT
In this paper, the authors consider the problem of choosing a minimum cost set of resources for executing a specified set of jobs. Each input job is an interval, determined by its start-time and...
Provided by Cornell University
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Whitepapers
Detecting Dense Communities in Large Social and Information Networks with the Core & Peel Algorithm
October 11, 2012, 12:00am PDT
Detecting and characterizing dense subgraphs (tight communities) in social and information networks is an important exploratory tool in social network analysis. Several approaches have been...
Provided by Cornell University
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Whitepapers
Variable-Length Hill Cipher with MDS Key Matrix
October 6, 2012, 12:00am PDT
The Hill Cipher is a classical symmetric cipher which breaks plaintext into blocks of size and then multiplies each block by an key matrix to yield ciphertext. However, it is well known that the...
Provided by Cornell University
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Whitepapers
Artex is Another Text Summarizer
October 11, 2012, 12:00am PDT
This paper describes Artex, another algorithm for Automatic Text Summarization. In order to rank sentences, a simple inner product is calculated between each sentence, a document vector (text...
Provided by Cornell University
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Whitepapers
Inferring the Underlying Structure of Information Cascades
October 12, 2012, 12:00am PDT
In social networks, information and influence diffuse among users as cascades. While the importance of studying cascades has been recognized in various applications, it is difficult to observe the...
Provided by Cornell University
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Whitepapers
An Agent-Based Framework for Cooperation in Supply Chain
September 4, 2012, 12:00am PDT
Supply Chain coordination has become a critical success factor for Supply Chain management (SCM) and effectively improving the performance of organizations in various industries. Companies are...
Provided by Cornell University
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Whitepapers
Multi-Dimensional Password Generation Technique for Accessing Cloud Services
June 1, 2012, 12:00am PDT
Cloud computing is drastically growing technology which provides an on-demand software, hardware, infrastructure and data storage as services. This technology is used worldwide to improve the...
Provided by Cornell University
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Whitepapers
Anonymous Communication in Peer-to-Peer Networks for Providing More Privacy and Security
June 1, 2012, 12:00am PDT
One of the most important issues in peer-to-peer networks is anonymity. The major anonymity for peer-to-peer users concerned with the users' identities and actions which can be revealed by any...
Provided by Cornell University
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Whitepapers
Bio Inspired Approach to Secure Routing in MANETs
July 1, 2012, 12:00am PDT
In this paper, the author explores the challenges with respect to the security aspect in MANETs and proposes a new approach which makes use of a bio-inspired methodology. This paper elaborates...
Provided by Cornell University
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Whitepapers
On the Use of Latency Graphs for the Construction of Tor Circuits
August 18, 2012, 12:00am PDT
The use of anonymity-based infrastructures and anonymisers is a plausible solution to mitigate privacy problems on the Internet. Tor (short for the onion router) is a popular low-latency anonymity...
Provided by Cornell University
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Whitepapers
Airborne Software Tests on a Fully Virtual Platform
April 16, 2012, 12:00am PDT
This paper presents the early deployment of a fully virtual platform to perform the tests of certified airborne software. This is an alternative to the current approach based on the use of...
Provided by Cornell University
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Whitepapers
Evaluation of the Design Metric to Reduce the Number of Defects in Software Development
April 22, 2012, 12:00am PDT
Software design is one of the most important and key activities in the System Development Life Cycle (SDLC) phase that ensures the quality of software. Different key areas of design are very vital...
Provided by Cornell University
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Whitepapers
ACME Vs PDDL: Support for Dynamic Reconfiguration of Software Architectures
June 1, 2012, 12:00am PDT
On the one hand, ACME is a language designed in the late 90s as an interchange format for software architectures. The need for reconfiguration at runtime has led to extend the language with...
Provided by Cornell University
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Whitepapers
Software Aging Analysis of Web Server Using Neural Networks
May 1, 2012, 12:00am PDT
Software aging is a phenomenon that refers to progressive performance degradation or transient failures or even crashes in long running software systems such as web servers. It mainly occurs due...
Provided by Cornell University
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Whitepapers
Experience on Re-Engineering Applying With Software Product Line
May 1, 2012, 12:00am PDT
In this paper, the authors present their experience based on a reengineering project. The software project is to re-engineer the original system of a company to answer the new requirements and...
Provided by Cornell University
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Whitepapers
Significance of Quality Metrics During Software Development Process
July 3, 2012, 12:00am PDT
In recent years, Software has become an indispensable part of every segment from simple Office Automation to Space Technology and E-mail to E-commerce. The evolution in Software architecture is...
Provided by Cornell University
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Whitepapers
Acquiring IT Solutions Through Open Source Software
January 10, 2008, 12:00am PST
Open source software is free software that provides user freedom to use, replicate, modify, and distribute for any purpose. The quality of well-known open source software is very high and they are...
Provided by Cornell University
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Whitepapers
Service Oriented Architecture a Revolution for Comprehensive Web Based Project Management Software
July 20, 2012, 12:00am PDT
Service oriented architecture a revolution for project management software has changed the way projects today are moving on the fly with the help of web services booming the industry. Service...
Provided by Cornell University
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Whitepapers
On the Sum Rate of a 2 X 2 Interference Network
August 10, 2012, 12:00am PDT
The authors consider the 2 X 2 interference network with 6 possible messages, of which the 2 X 2 interference channel and X channel are special cases obtained by using only 2 and 4 messages...
Provided by Cornell University
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Whitepapers
A DDS-Based Scalable and Reconfigurable Framework for Cyber-Physical Systems
July 1, 2012, 12:00am PDT
Cyber-Physical Systems (CPSs) involve the interconnection of heterogeneous computing devices which are closely integrated with the physical processes under control. Often, these systems are...
Provided by Cornell University
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Whitepapers
Inferring SQL Queries Using Program Synthesis
August 9, 2012, 12:00am PDT
Developing high-performance applications that interact with databases is a difficult task, as developers need to understand both the details of the language in which their applications are written...
Provided by Cornell University
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Whitepapers
Scheduling Data Intensive Workloads Through Virtualization on MapReduce Based Clouds
July 13, 2012, 12:00am PDT
MapReduce has become a popular programming model for running data intensive applications on the cloud. Completion time goals or deadlines of MapReduce jobs set by users are becoming crucial in...
Provided by Cornell University
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Whitepapers
Performance Analysis of DiffServ Based Quality of Service in a Multimedia Wired Network and VPN Effect Using OPNET
May 17, 2012, 12:00am PDT
Quality of Service (QoS) techniques are applied in IP networks to utilize available network resources in the most efficient manner to minimize delays and delay variations (jitters) in network...
Provided by Cornell University
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Whitepapers
Medium Access Over Time-Varying Channels With Limited Sensing Cost
June 22, 2012, 12:00am PDT
Recent studies on MAC scheduling have shown that Carrier Sense Multiple Access (CSMA) can be controlled to be achieve optimality in terms of throughput or utility. These results imply that just a...
Provided by Cornell University
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Whitepapers
Performance Improvement of VOD System by Policy Based Traffic Handle
June 1, 2012, 12:00am PDT
The distributed system use to enhance the performance of all types of multimedia service in the next generation network. The packet loss occurs in the video on demand system due to delay and huge...
Provided by Cornell University
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Whitepapers
Convexity Conditions for 802.11 WLANs
June 14, 2012, 12:00am PDT
In this paper, the authors characterise the maximal convex subsets of the (non-convex) rate region in 802.11 WLANs. In addition to being of intrinsic interest as a fundamental property of 802.11...
Provided by Cornell University
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Whitepapers
Finishing Flows Quickly With Preemptive Scheduling
June 12, 2012, 12:00am PDT
Today's data centers face extreme challenges in providing low latency. However, fair sharing, a principle commonly adopted in current congestion control protocols, is far from optimal for...
Provided by Cornell University
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Whitepapers
A Novel Approach for Security Issues in VoIP Networks in Virtualization With IVR
May 1, 2012, 12:00am PDT
VoIP (Voice over Internet Protocol) is a growing technology during last decade. It provides the audio, video streaming facility on successful implementation in the network. However, it provides...
Provided by Cornell University
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Whitepapers
Flexible Data Dissemination Strategy for Effective Cache Consistency in Mobile Wireless Communication Networks
May 1, 2012, 12:00am PDT
In mobile wireless communication network, caching data items at the mobile clients is important to reduce the data access delay. However, efficient cache invalidation strategies are used to ensure...
Provided by Cornell University
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Whitepapers
An Approach in Optimization of Ad-Hoc Routing Algorithms
May 1, 2012, 12:00am PDT
In this paper different optimization of ad-hoc routing algorithm is surveyed and a new method using training based optimization algorithm for reducing the complexity of routing algorithms is...
Provided by Cornell University
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Whitepapers
DWDM/OOC and Large Spectrum Sources Performance in Broadband Access Network
May 1, 2012, 12:00am PDT
This paper presents a performance evaluation based on elaborated analytical expressions of error probability for broadband access network in the case of a combined technique of Dense Wavelength...
Provided by Cornell University
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Whitepapers
Nagios Based Enhanced IT Management System
March 1, 2012, 12:00am PST
The integrated management of multi-providers equipments is a key asset for telecommunication operators or service providers when selecting the appropriate network and service management platform...
Provided by Cornell University
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Whitepapers
A Coverage Theory of Bistatic Radar Networks: Worst-Case Intrusion Path and Optimal Deployment
June 1, 2012, 12:00am PDT
Continuing advances in radar technology are driven both by new application regimes and technological innovations. A family of applications of increasing importance is detection of a mobile target...
Provided by Cornell University
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