AU2009238561B2 - Scanning based spreads using a hedge ratio non-linear optimization model - Google Patents
Scanning based spreads using a hedge ratio non-linear optimization model Download PDFInfo
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- AU2009238561B2 AU2009238561B2 AU2009238561A AU2009238561A AU2009238561B2 AU 2009238561 B2 AU2009238561 B2 AU 2009238561B2 AU 2009238561 A AU2009238561 A AU 2009238561A AU 2009238561 A AU2009238561 A AU 2009238561A AU 2009238561 B2 AU2009238561 B2 AU 2009238561B2
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/06—Asset management; Financial planning or analysis
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
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- Business, Economics & Management (AREA)
- Engineering & Computer Science (AREA)
- Accounting & Taxation (AREA)
- Finance (AREA)
- Development Economics (AREA)
- Technology Law (AREA)
- Marketing (AREA)
- Strategic Management (AREA)
- Economics (AREA)
- Physics & Mathematics (AREA)
- General Business, Economics & Management (AREA)
- General Physics & Mathematics (AREA)
- Theoretical Computer Science (AREA)
- Entrepreneurship & Innovation (AREA)
- Game Theory and Decision Science (AREA)
- Human Resources & Organizations (AREA)
- Operations Research (AREA)
- Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)
Applications Claiming Priority (3)
Application Number | Priority Date | Filing Date | Title |
---|---|---|---|
US12/056,465 US7991671B2 (en) | 2008-03-27 | 2008-03-27 | Scanning based spreads using a hedge ratio non-linear optimization model |
US12/056,465 | 2008-03-27 | ||
PCT/US2009/035980 WO2009131751A2 (en) | 2008-03-27 | 2009-03-04 | Scanning based spreads using a hedge ratio non-linear optimization model |
Publications (2)
Publication Number | Publication Date |
---|---|
AU2009238561A1 AU2009238561A1 (en) | 2009-10-29 |
AU2009238561B2 true AU2009238561B2 (en) | 2015-05-14 |
Family
ID=41118596
Family Applications (1)
Application Number | Title | Priority Date | Filing Date |
---|---|---|---|
AU2009238561A Active AU2009238561B2 (en) | 2008-03-27 | 2009-03-04 | Scanning based spreads using a hedge ratio non-linear optimization model |
Country Status (4)
Families Citing this family (38)
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US7769667B2 (en) | 2004-09-10 | 2010-08-03 | Chicago Mercantile Exchange Inc. | System and method for activity based margining |
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US7593877B2 (en) | 2004-09-10 | 2009-09-22 | Chicago Mercantile Exchange, Inc. | System and method for hybrid spreading for flexible spread participation |
US8849711B2 (en) * | 2004-09-10 | 2014-09-30 | Chicago Mercantile Exchange Inc. | System and method for displaying a combined trading and risk management GUI display |
US7509275B2 (en) | 2004-09-10 | 2009-03-24 | Chicago Mercantile Exchange Inc. | System and method for asymmetric offsets in a risk management system |
US7430539B2 (en) | 2004-09-10 | 2008-09-30 | Chicago Mercantile Exchange | System and method of margining fixed payoff products |
US7426487B2 (en) * | 2004-09-10 | 2008-09-16 | Chicago Mercantile Exchange, Inc. | System and method for efficiently using collateral for risk offset |
US8069109B2 (en) * | 2005-01-07 | 2011-11-29 | Chicago Mercantile Exchange Inc. | System and method for using diversification spreading for risk offset |
US20070294158A1 (en) * | 2005-01-07 | 2007-12-20 | Chicago Mercantile Exchange | Asymmetric and volatility margining for risk offset |
US8108281B2 (en) * | 2005-01-07 | 2012-01-31 | Chicago Mercantile Exchange Inc. | System and method for multi-factor modeling, analysis and margining of credit default swaps for risk offset |
US8738490B2 (en) | 2005-01-07 | 2014-05-27 | Chicago Mercantile Exchange Inc. | System and method for multi-factor modeling, analysis and margining of credit default swaps for risk offset |
US8103578B2 (en) | 2005-01-07 | 2012-01-24 | Chicago Mercantile Exchange Inc. | System and method for multi-factor modeling, analysis and margining of credit default swaps for risk offset |
US20090171824A1 (en) * | 2007-12-27 | 2009-07-02 | Dmitriy Glinberg | Margin offsets across portfolios |
US7925564B2 (en) * | 2008-07-31 | 2011-04-12 | Hartford Fire Insurance Company | Computer system and method for determining optimal asset allocation |
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US20110004848A1 (en) * | 2009-07-06 | 2011-01-06 | X-Change Financial Access, LLC | Interface for Entering Option Orders that Simultaneously Accommodates Simple Options, Spreads, and Complex Spreads |
US8131634B1 (en) | 2009-09-15 | 2012-03-06 | Chicago Mercantile Exchange Inc. | System and method for determining the market risk margin requirements associated with a credit default swap |
US8321333B2 (en) | 2009-09-15 | 2012-11-27 | Chicago Mercantile Exchange Inc. | System and method for determining the market risk margin requirements associated with a credit default swap |
IL204608A0 (en) * | 2010-03-18 | 2010-11-30 | Yakov Becker | Method and system for performing zero - sum trading |
US8554662B2 (en) * | 2010-08-27 | 2013-10-08 | Chicago Mercantile Exchange Inc. | Delta neutral futures allocation |
US20120054084A1 (en) * | 2010-08-27 | 2012-03-01 | Wolf Brian M | Delta Neutral Futures Allocation |
US20120130880A1 (en) * | 2010-11-23 | 2012-05-24 | Trading Technologies International, Inc. | Systems and Methods for Product-Level and Contract-Level Risk Computations and Management |
US8639609B2 (en) * | 2010-12-09 | 2014-01-28 | Chicago Mercantile Exchange Inc. | Cross margining of tri-party repo transactions |
US8271367B1 (en) | 2011-05-11 | 2012-09-18 | WebEquity Solutions, LLC | Systems and methods for financial stress testing |
US8732178B2 (en) | 2012-01-25 | 2014-05-20 | International Business Machines Corporation | Using views of subsets of nodes of a schema to generate data transformation jobs to transform input files in first data formats to output files in second data formats |
US20140108293A1 (en) * | 2012-09-14 | 2014-04-17 | Optionshop. Inc. | Systems and methods for trading, tracking, and managing configurable portfolio baskets |
US10255636B2 (en) * | 2013-08-01 | 2019-04-09 | Chicago Mercantile Exchange Inc. | PCA-based portfolio margining |
US20150112889A1 (en) * | 2013-10-18 | 2015-04-23 | Chicago Mercantile Exchange, Inc. | Achieving margin capital efficiencies using linear programming |
US9547671B2 (en) * | 2014-01-06 | 2017-01-17 | International Business Machines Corporation | Limiting the rendering of instances of recursive elements in view output |
US9594779B2 (en) | 2014-01-06 | 2017-03-14 | International Business Machines Corporation | Generating a view for a schema including information on indication to transform recursive types to non-recursive structure in the schema |
US20150287141A1 (en) * | 2014-04-03 | 2015-10-08 | Edgar Parker, JR. | Portfolio optimization by the detection and control of the predictive horizon of included investments. |
US10121126B2 (en) | 2014-07-15 | 2018-11-06 | Eric Lamison-White | System for maintaining account valuation of digital currency accounts |
US20160019644A1 (en) * | 2014-07-18 | 2016-01-21 | Chicago Mercantile Exchange Inc. | Size-based allocation prioritization |
US20160035033A1 (en) | 2014-08-04 | 2016-02-04 | Chicago Mercantile Exchange Inc. | Liquidation Cost Calculation |
CA2983439A1 (en) * | 2015-04-29 | 2016-11-03 | International Swaps and Derivatives Association, Inc. | Method and system for calculating and providing initial margin under the standard initial margin model |
US10157207B2 (en) * | 2015-11-17 | 2018-12-18 | Bank Of America Corporation | System for supplemental data reporting utilizing data record properties |
US10482483B2 (en) | 2015-11-17 | 2019-11-19 | Bank Of America Corporation | System for aggregating data record attributes for supplemental data reporting |
US10803069B2 (en) | 2016-06-24 | 2020-10-13 | Chicago Mercantile Exchange Inc. | Dynamic valuation system using object relationships and composite object data |
Citations (2)
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US20050131796A1 (en) * | 2000-11-28 | 2005-06-16 | Goldman Sachs & Co. | Reduction of financial instrument volatility |
US20060277134A1 (en) * | 2005-01-07 | 2006-12-07 | Chicago Mercantile Exchange Inc. | System and method for using diversification spreading for risk offset |
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US6263321B1 (en) * | 1994-07-29 | 2001-07-17 | Economic Inventions, Llc | Apparatus and process for calculating an option |
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2008
- 2008-03-27 US US12/056,465 patent/US7991671B2/en active Active
-
2009
- 2009-03-04 CA CA 2718554 patent/CA2718554A1/en not_active Abandoned
- 2009-03-04 WO PCT/US2009/035980 patent/WO2009131751A2/en active Application Filing
- 2009-03-04 AU AU2009238561A patent/AU2009238561B2/en active Active
-
2011
- 2011-06-15 US US13/160,817 patent/US8224730B2/en active Active
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2012
- 2012-06-18 US US13/526,253 patent/US8600864B2/en active Active
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2013
- 2013-11-11 US US14/076,653 patent/US20140067721A1/en not_active Abandoned
Patent Citations (2)
Publication number | Priority date | Publication date | Assignee | Title |
---|---|---|---|---|
US20050131796A1 (en) * | 2000-11-28 | 2005-06-16 | Goldman Sachs & Co. | Reduction of financial instrument volatility |
US20060277134A1 (en) * | 2005-01-07 | 2006-12-07 | Chicago Mercantile Exchange Inc. | System and method for using diversification spreading for risk offset |
Also Published As
Publication number | Publication date |
---|---|
CA2718554A1 (en) | 2009-10-29 |
AU2009238561A1 (en) | 2009-10-29 |
US20110246394A1 (en) | 2011-10-06 |
WO2009131751A3 (en) | 2009-12-30 |
US20090248588A1 (en) | 2009-10-01 |
US8600864B2 (en) | 2013-12-03 |
US7991671B2 (en) | 2011-08-02 |
US20140067721A1 (en) | 2014-03-06 |
WO2009131751A2 (en) | 2009-10-29 |
US8224730B2 (en) | 2012-07-17 |
US20120259798A1 (en) | 2012-10-11 |
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Legal Events
Date | Code | Title | Description |
---|---|---|---|
FGA | Letters patent sealed or granted (standard patent) |