Randomness conductors and constant-degree lossless expanders
STOC '02 Proceedings of the thiry-fourth annual ACM symposium on Theory of computing
The unified theory of pseudorandomness: guest column
ACM SIGACT News
Unbalanced expanders and randomness extractors from Parvaresh--Vardy codes
Journal of the ACM (JACM)
Almost Euclidean subspaces of ℓ1N VIA expander codes
Combinatorica
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Arora, Barak, Brunnermeier, and Ge showed that taking computational complexity into account, a dishonest seller could dramatically increase the lemon costs of a family of financial derivatives. 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.