The Libor Market Model: from theory to calibration

This thesis is focused on the financial model for interest rates called the LIBOR Market Model. In the appendixes, we provide the necessary mathematical theory. In the inner chapters, firstly, we define the main interest rates and financial instruments concerning with the interest rate models, then, we set the LIBOR market model, demonstrate its existence, derive the dynamics of forward LIBOR rates and justify the pricing of caps according to the Black’s formula. Then, we also present the Swap Market Model, which models the forward swap rates instead of the LIBOR ones. Even this model is justified by a theoretical demonstration and the resulting formula to price the swaptions coincides with the Black’s one. However, the two models are not compatible from a theoretical point. Therefore, we derive various analytical approximating formulae to price the swaptions in the LIBOR market model and we explain how to perform a Monte Carlo simulation. Finally, we present the calibration of the LIBOR market model to the markets of both caps and swaptions, together with various examples of application to the historical correlation matrix and the cascade calibration of the forward volatilities to the matrix of implied swaption volatilities provided by the market.

Streaming audio e video nei sistemi Peer-To-Peer TV: il caso Sopcast P2PTV

La tesi si propone di affrontare il tema del Live Streaming in sistemi P2P con particolare riferimento a Sopcast, un applicativo di P2PTV. Viene fatto un ricorso storico riguardo alla nascita dello streaming e al suo sviluppo, vengono descritte le caratteristiche, il protocollo di comunicazione e i modelli più diffusi per il live streaming P2P. Inoltre si tratterà come viene garantita la qualità del servizio e valutate le performance di un servizio P2PTV.

Composizione musicale e streaming peer-to-peer con web audio e webrtc

La tesi descrive lo sviluppo di un'applicazione web per comporre musica tramite la tecnica del "live looping" che fornisce anche la possibilità di effettuare lo streaming di ciò che si crea in tempo reale e in maniera peer-to-peer. L'applicazione in oggetto (chiamata WebLooper) fa uso di due tecnologie web emergenti in ambito multimediale: Web Audio e WebRTC, attualmente in attesa di diventare standard W3C.

Architettura di supporto al peer-to-peer gaming basata su network coding

La popolarita` dei giochi online e` in crescita, ma allo stesso tempo le architetture proposte dagli sviluppatori e le connessioni di cui sono dotati gli utenti sembrano restare non adeguate a questo. Nella tesi si descrive un'architettura peer-to-peer che riesce ad effettuare una riduzione nella perdita dei pacchetti grazie al meccanismo del Network Coding senza effetti collaterali per la latenza.

Design and implementation of an anonymous peer-to-peer iaas cloud

Cloud services are becoming ever more important for everyone's life. Cloud storage? Web mails? Yes, we don't need to be working in big IT companies to be surrounded by cloud services. Another thing that's growing in importance, or at least that should be considered ever more important, is the concept of privacy. The more we rely on services of which we know close to nothing about, the more we should be worried about our privacy. In this work, I will analyze a prototype software based on a peer to peer architecture for the offering of cloud services, to see if it's possible to make it completely anonymous, meaning that not only the users using it will be anonymous, but also the Peers composing it will not know the real identity of each others. To make it possible, I will make use of anonymizing networks like Tor. I will start by studying the state of art of Cloud Computing, by looking at some real example, followed by analyzing the architecture of the prototype, trying to expose the differences between its distributed nature and the somehow centralized solutions offered by the famous vendors. After that, I will get as deep as possible into the working principle of the anonymizing networks, because they are not something that can just be 'applied' mindlessly. Some de-anonymizing techniques are very subtle so things must be studied carefully. I will then implement the required changes, and test the new anonymized prototype to see how its performances differ from those of the standard one. The prototype will be run on many machines, orchestrated by a tester script that will automatically start, stop and do all the required API calls. As to where to find all these machines, I will make use of Amazon EC2 cloud services and their on-demand instances.

Disseminazioni in reti peer-to-peer attraverso algoritmi di gossip a due fasi

Gli algoritmi di gossip sono utilizzati per la disseminazione di messaggi in una rete peer-to-peer. La tesi tratta lo sviluppo, l'implementazione e l'analisi di quattro nuovi algoritmi di gossip "a due fasi". Gli algoritmi sono stati sviluppati e testati con il simulatore LUNES per poi essere analizzati in vari confronti con gli algoritmi classici dell'ambito, ovvero Fixed Probability e Conditional Broadcast. Le prove sono state effettuate su varie tipologie di grafi, ovvero Random, Scale-free, Small-world e K-Regular.