Union Bank of Switzerland

About: Union Bank of Switzerland is a based out in . It is known for research contribution in the topics: Blind signature & Payment. The organization has 59 authors who have published 70 publications receiving 4867 citations. The organization is also known as: Irving Trust.

Efficient Group Signature Schemes for Large Groups (Extended Abstract)

Abstract: A group signature scheme allows members of a group to sign messages on the group's behalf such that the resulting signature does not reveal their identity Only a designated group manager is able to identify the group member who issued a given signature Previously proposed realizations of group signature schemes have the undesirable property that the length of the public key is linear in the size of the group In this paper we propose the first group signature scheme whose public key and signatures have length independent of the number of group members and which can therefore also be used for large groups Furthermore, the scheme allows the group manager to add new members to the group without modifying the public key The realization is based on methods for proving the knowledge of signatures

Faster valuation of financial derivatives

Abstract: High-dimensional integrals are usually solved with Monte Carlo algorithms although theory suggests that low-discrepancy algorithms are sometimes superior. We report on numerical testing which compares low-discrepancy and Monte Carlo algorithms on the evaluation of financial derivatives. The testing is performed on a Collateralized Mortgage Obligation (CMO) which is formulated as the computation of ten integrals of dimension up to 360. We tested two low-discrepancy algorithms (Sobol and Halton) and two randomized algorithms (classical Monte Carlo and Monte Carlo combined with antithetic variables). We conclude that for this CMO the Sobol algorithm is always superior to the other algorithms. We believe that it will be advantageous to use the Sobol algorithm for many other types of financial derivatives. Our conclusion regarding the superiority of the Sobol algorithm also holds when a rather small number of sample points are used, an important case in practice. We have built a software system called FINDER for computing high-dimensional integrals. FINDER runs on a heterogeneous network of workstations under PVM 3.2 (Parallel Virtual Machine). Since workstations are ubiquitous, this is a cost-effect way to do large computations fast. The measured speedup is at least .9N for $N$ workstations, $N$ less than or equal to 25. The software can also be used to compute high-dimensional integrals on a single workstation. A routine for generating Sobol points may be found, for example, in "Numerical Recipes in C" by Press et al. However, we incorporated major improvements in FINDER and we stress that the results reported in this paper were obtained using FINDER. One of the improvements was developing the table of primitive polynomials and initial direction numbers for dimensions up to 360.

Financial Calculus: An Introduction to Derivative Pricing

Abstract: The parable of the bookmaker 1 Introduction 2 Discrete processes 3 Continuous processes 4 Pricing market securities 5 Interest rates 6 Bigger models Appendix 1 Further reading Appendix 2 Notation Appendix 3 Answers to exercises Appendix 4 Glossary of technical terms Index

Fair blind signatures

Abstract: A blind signature scheme is a protocol for obtaining a signature from a signer such that the signer's view of the protocol cannot be linked to the resulting message-signature pair. Blind signature schemes are used in anonymous digital payment systems. Since the existing proposals of blind signature schemes provide perfect unlinkability, such payment systems could be misused by criminals, e.g. to safely obtain a ransom or to launder money. In this paper, a new type of blind signature schemes called fair blind signature schemes is proposed. Such schemes have the additional property that a trusted entity can deliver information allowing the signer to link his view of the protocol and the message-signature pair. Two types of fair blind signature schemes are distinguished and several realizations are presented.

Blind signatures based on the discrete logarithm problem

Abstract: Blind signature schemes, an important cryptographic primitive, are useful in protocols that guarantee the anonymity of the participants. Two new blind signature schemes based on the discrete logarithm problem are presented.