CA2718554A1 - 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 PDF

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Publication number
CA2718554A1
CA2718554A1 CA 2718554 CA2718554A CA2718554A1 CA 2718554 A1 CA2718554 A1 CA 2718554A1 CA 2718554 CA2718554 CA 2718554 CA 2718554 A CA2718554 A CA 2718554A CA 2718554 A1 CA2718554 A1 CA 2718554A1
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CA
Canada
Prior art keywords
portfolio
spread
delta
credit
risk
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Abandoned
Application number
CA 2718554
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English (en)
French (fr)
Inventor
Muhammed Hadi
Amy Stephen
Ketan Patel
Dmitriy Glinberg
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
CME Group Inc
Original Assignee
Chicago Mercantile Exchange Inc
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Chicago Mercantile Exchange Inc filed Critical Chicago Mercantile Exchange Inc
Publication of CA2718554A1 publication Critical patent/CA2718554A1/en
Abandoned legal-status Critical Current

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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
CA 2718554 2008-03-27 2009-03-04 Scanning based spreads using a hedge ratio non-linear optimization model Abandoned CA2718554A1 (en)

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 (1)

Publication Number Publication Date
CA2718554A1 true CA2718554A1 (en) 2009-10-29

Family

ID=41118596

Family Applications (1)

Application Number Title Priority Date Filing Date
CA 2718554 Abandoned CA2718554A1 (en) 2008-03-27 2009-03-04 Scanning based spreads using a hedge ratio non-linear optimization model

Country Status (4)

Country Link
US (4) US7991671B2 (US20090248588A1-20091001-P00001.png)
AU (1) AU2009238561B2 (US20090248588A1-20091001-P00001.png)
CA (1) CA2718554A1 (US20090248588A1-20091001-P00001.png)
WO (1) WO2009131751A2 (US20090248588A1-20091001-P00001.png)

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Also Published As

Publication number Publication date
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
AU2009238561B2 (en) 2015-05-14
US8224730B2 (en) 2012-07-17
US20120259798A1 (en) 2012-10-11

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Legal Events

Date Code Title Description
EEER Examination request
FZDE Discontinued

Effective date: 20150917