可证明伪随机Financial Derivatives
Certifiably Pseudorandom Financial Derivatives
摘要：
阿罗拉、巴拉克、布伦纳迈尔和葛表明，考虑到计算复杂性，不诚实的卖家可以战略性地将柠檬放在金融衍生品中，使其对买家的价值大幅降低。我们表明，如果卖方被要求构建某种形式的衍生品，那么这种现象消失。特别是，我们定义和构建伪随机衍生物的家庭，柠檬的位置只有轻微影响的衍生物的值。我们的构造使用扩展图。我们研究我们的衍生品在一个更一般的设置比阿罗拉等人。特别是，我们分析任意份额的共同债务抵押债券（CDO）的基础资产时，可以有显着的依赖关系。
英文摘要：
Arora, Barak, Brunnermeier, and Ge showed that taking computational complexity into account, a dishonest seller could strategically place lemons in financial derivatives to make them substantially less valuable to buyers. We show that if the seller is required to construct derivatives of a certain form, then this phenomenon disappears. In particular, we define and construct pseudorandom derivative families, for which lemon placement only slightly affects the values of the derivatives. Our constructions use expander graphs. We study our derivatives in a more general setting than Arora et al. In particular, we analyze arbitrary tranches of the common collateralized debt obligations (CDOs) when the underlying assets can have significant dependencies.
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