JP2008515034A5 - - Google Patents

Download PDF

Info

Publication number
JP2008515034A5
JP2008515034A5 JP2007531227A JP2007531227A JP2008515034A5 JP 2008515034 A5 JP2008515034 A5 JP 2008515034A5 JP 2007531227 A JP2007531227 A JP 2007531227A JP 2007531227 A JP2007531227 A JP 2007531227A JP 2008515034 A5 JP2008515034 A5 JP 2008515034A5
Authority
JP
Japan
Prior art keywords
product
risk
spread
portfolio
value
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.)
Granted
Application number
JP2007531227A
Other languages
English (en)
Japanese (ja)
Other versions
JP2008515034A (ja
JP4937126B2 (ja
Filing date
Publication date
Priority claimed from US11/031,182 external-priority patent/US7593877B2/en
Application filed filed Critical
Publication of JP2008515034A publication Critical patent/JP2008515034A/ja
Publication of JP2008515034A5 publication Critical patent/JP2008515034A5/ja
Application granted granted Critical
Publication of JP4937126B2 publication Critical patent/JP4937126B2/ja
Anticipated expiration legal-status Critical
Expired - Lifetime legal-status Critical Current

Links

JP2007531227A 2004-09-10 2005-08-31 柔軟性のあるスプレッド参加のためのシステム及び方法 Expired - Lifetime JP4937126B2 (ja)

Applications Claiming Priority (5)

Application Number Priority Date Filing Date Title
US60870504P 2004-09-10 2004-09-10
US60/608,705 2004-09-10
US11/031,182 US7593877B2 (en) 2004-09-10 2005-01-07 System and method for hybrid spreading for flexible spread participation
US11/031,182 2005-01-07
PCT/US2005/031039 WO2006031448A2 (en) 2004-09-10 2005-08-31 System and method for flexible spread participation

Publications (3)

Publication Number Publication Date
JP2008515034A JP2008515034A (ja) 2008-05-08
JP2008515034A5 true JP2008515034A5 (enExample) 2008-10-16
JP4937126B2 JP4937126B2 (ja) 2012-05-23

Family

ID=36035277

Family Applications (1)

Application Number Title Priority Date Filing Date
JP2007531227A Expired - Lifetime JP4937126B2 (ja) 2004-09-10 2005-08-31 柔軟性のあるスプレッド参加のためのシステム及び方法

Country Status (5)

Country Link
US (5) US7593877B2 (enExample)
EP (1) EP1787259A4 (enExample)
JP (1) JP4937126B2 (enExample)
CA (1) CA2578085A1 (enExample)
WO (1) WO2006031448A2 (enExample)

Families Citing this family (61)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US8095508B2 (en) 2000-04-07 2012-01-10 Washington University Intelligent data storage and processing using FPGA devices
US6711558B1 (en) 2000-04-07 2004-03-23 Washington University Associative database scanning and information retrieval
US7139743B2 (en) 2000-04-07 2006-11-21 Washington University Associative database scanning and information retrieval using FPGA devices
US20090161568A1 (en) * 2007-12-21 2009-06-25 Charles Kastner TCP data reassembly
US7716330B2 (en) 2001-10-19 2010-05-11 Global Velocity, Inc. System and method for controlling transmission of data packets over an information network
US7711844B2 (en) * 2002-08-15 2010-05-04 Washington University Of St. Louis TCP-splitter: reliable packet monitoring methods and apparatus for high speed networks
US10572824B2 (en) 2003-05-23 2020-02-25 Ip Reservoir, Llc System and method for low latency multi-functional pipeline with correlation logic and selectively activated/deactivated pipelined data processing engines
AU2004273406A1 (en) 2003-05-23 2005-03-24 Data Search Systems, Inc. Intelligent data storage and processing using FPGA devices
US7890412B2 (en) * 2003-11-04 2011-02-15 New York Mercantile Exchange, Inc. Distributed trading bus architecture
US7602785B2 (en) 2004-02-09 2009-10-13 Washington University Method and system for performing longest prefix matching for network address lookup using bloom filters
WO2006023948A2 (en) * 2004-08-24 2006-03-02 Washington University Methods and systems for content detection in a reconfigurable hardware
US7769667B2 (en) * 2004-09-10 2010-08-03 Chicago Mercantile Exchange Inc. System and method for activity based margining
US20100076907A1 (en) * 2005-05-31 2010-03-25 Rosenthal Collins Group, Llc. Method and system for automatically inputting, monitoring and trading risk- controlled spreads
US20070118455A1 (en) * 2005-11-18 2007-05-24 Albert William J System and method for directed request for quote
WO2007061857A2 (en) 2005-11-18 2007-05-31 Chicago Mercantile Exchange Multiple quote risk management
US10726479B2 (en) * 2005-11-18 2020-07-28 Chicago Mercantile Exchange Inc. System and method for centralized clearing of over the counter foreign exchange instruments
US7801810B2 (en) * 2005-11-18 2010-09-21 Chicago Mercantile Exchange Inc. Hybrid cross-margining
US7954114B2 (en) 2006-01-26 2011-05-31 Exegy Incorporated Firmware socket module for FPGA-based pipeline processing
US7840482B2 (en) 2006-06-19 2010-11-23 Exegy Incorporated Method and system for high speed options pricing
US7921046B2 (en) 2006-06-19 2011-04-05 Exegy Incorporated High speed processing of financial information using FPGA devices
US20080140585A1 (en) * 2006-06-30 2008-06-12 Ronald Hylton Method for improving performance of constant leverage assets based on approximate payoffs
US8341064B2 (en) * 2006-09-12 2012-12-25 Chicago Mercantile Exchange, Inc. Standardization and management of over-the-counter financial instruments
US8341066B2 (en) * 2006-11-02 2012-12-25 Preston Jr John E System and method for determining optimal investment strategy
US8583536B1 (en) * 2007-08-17 2013-11-12 Trading Technologies International, Inc. System and method for reducing the risks involved in trading multiple spread trading strategies
US7987135B2 (en) * 2007-08-20 2011-07-26 Chicago Mercantile Exchange, Inc. Out of band credit control
US8762252B2 (en) 2007-08-20 2014-06-24 Chicago Mercantile Exchange Inc. Out of band credit control
US8756146B2 (en) 2007-08-20 2014-06-17 Chicago Mercantile Exchange Inc. Out of band credit control
US20090089200A1 (en) * 2007-08-20 2009-04-02 Chicago Mercantile Exchange Inc. Pre-execution credit control
US7996301B2 (en) 2007-08-20 2011-08-09 Chicago Mercantile Exchange, Inc. Out of band credit control
US10229453B2 (en) 2008-01-11 2019-03-12 Ip Reservoir, Llc Method and system for low latency basket calculation
US10915958B2 (en) 2008-04-30 2021-02-09 Intercontinental Exchange Holdings, Inc. Advisory thresholds and alerts for managing position concentration risk
US20100049646A1 (en) * 2008-08-21 2010-02-25 Jacob Pechenik Converting a trade transaction agreement into allowable structured products
CA3184014A1 (en) 2008-12-15 2010-07-08 Exegy Incorporated Method and apparatus for high-speed processing of financial market depth data
US8229835B2 (en) 2009-01-08 2012-07-24 New York Mercantile Exchange, Inc. Determination of implied orders in a trade matching system
CN101956647B (zh) * 2009-07-15 2012-12-19 鸿富锦精密工业(深圳)有限公司 潮汐能发电装置
US8417618B2 (en) * 2009-09-03 2013-04-09 Chicago Mercantile Exchange Inc. Utilizing a trigger order with multiple counterparties in implied market trading
US8266030B2 (en) 2009-09-15 2012-09-11 Chicago Mercantile Exchange Inc. Transformation of a multi-leg security definition for calculation of implied orders in an electronic trading system
US8255305B2 (en) * 2009-09-15 2012-08-28 Chicago Mercantile Exchange Inc. Ratio spreads for contracts of different sizes in implied market trading
US20110066537A1 (en) * 2009-09-15 2011-03-17 Andrew Milne Implied volume analyzer
US8229838B2 (en) 2009-10-14 2012-07-24 Chicago Mercantile Exchange, Inc. Leg pricer
US8538849B2 (en) 2010-07-26 2013-09-17 Barclays Capital Inc. Methods and systems regarding volatility risk premium index
WO2012079041A1 (en) 2010-12-09 2012-06-14 Exegy Incorporated Method and apparatus for managing orders in financial markets
US9990393B2 (en) 2012-03-27 2018-06-05 Ip Reservoir, Llc Intelligent feed switch
US10121196B2 (en) 2012-03-27 2018-11-06 Ip Reservoir, Llc Offload processing of data packets containing financial market data
US11436672B2 (en) 2012-03-27 2022-09-06 Exegy Incorporated Intelligent switch for processing financial market data
US10650452B2 (en) 2012-03-27 2020-05-12 Ip Reservoir, Llc Offload processing of data packets
WO2014023365A1 (en) * 2012-08-06 2014-02-13 Omx Technology Ab Pre-match risk validation of orders
US9940673B2 (en) 2012-08-31 2018-04-10 Sander Gerber Systems and methods for measuring relationships between investments and other variables
US10140661B2 (en) * 2012-08-31 2018-11-27 Sander Gerber Systems and methods for managing investments
US12182869B2 (en) 2012-08-31 2024-12-31 Sander Gerber Systems and methods for measuring relationships between investments and other variables
US20150073962A1 (en) * 2013-09-10 2015-03-12 Chicago Mercantile Exchange Inc. Boundary Constraint-Based Settlement in Spread Markets
US20150112889A1 (en) * 2013-10-18 2015-04-23 Chicago Mercantile Exchange, Inc. Achieving margin capital efficiencies using linear programming
US10515410B2 (en) * 2015-04-29 2019-12-24 International Swaps and Derivatives Association, Inc. Method and system for calculating and providing initial margin under the standard initial margin model
US10430881B2 (en) 2016-01-19 2019-10-01 Chicago Mercantile Exchange Inc. Systems and methods for iterative optimization of related objects
US10643278B2 (en) 2016-01-20 2020-05-05 Chicago Mercantile Exchange Inc. Futures margin modeling system
US11270377B1 (en) 2016-04-01 2022-03-08 Chicago Mercantile Exchange Inc. Compression of an exchange traded derivative portfolio
JP6681257B2 (ja) * 2016-04-25 2020-04-15 株式会社野村総合研究所 証券業務支援システムおよび証拠金計算方法
US10803069B2 (en) 2016-06-24 2020-10-13 Chicago Mercantile Exchange Inc. Dynamic valuation system using object relationships and composite object data
US10867360B1 (en) 2016-10-28 2020-12-15 Chicago Mercantile Exchange Inc. Electric battery recharging unit controlled by a seasonality detection unit of a futures margin modeling system
WO2018119035A1 (en) 2016-12-22 2018-06-28 Ip Reservoir, Llc Pipelines for hardware-accelerated machine learning
US11908006B2 (en) * 2018-12-20 2024-02-20 Chicago Mercantile Exchange Inc. Message elimination in multi-model risk correlation system

Family Cites Families (63)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
DE4042151C2 (de) * 1990-12-28 1996-12-12 Danfoss As Steuereinrichtung für ein vollhydraulisches Lenksystem
US6263321B1 (en) * 1994-07-29 2001-07-17 Economic Inventions, Llc Apparatus and process for calculating an option
US5884286A (en) * 1994-07-29 1999-03-16 Daughtery, Iii; Vergil L. Apparatus and process for executing an expirationless option transaction
US5557517A (en) * 1994-07-29 1996-09-17 Daughterty, Iii; Vergil L. System and method for determining the price of an expirationless American option and issuing a buy or sell ticket on the current price and portfolio
US5963923A (en) * 1996-11-12 1999-10-05 Garber; Howard B. System and method for trading having a principal market maker
US6064985A (en) * 1998-01-21 2000-05-16 Assured Equities, Inc. Automated portfolio management system with internet datafeed
US7747523B2 (en) * 1998-03-30 2010-06-29 Cohen Morris E Internet-based financial vehicles
US6938009B1 (en) * 1999-08-16 2005-08-30 New Market Solutions, Llc Digital computer system and methods for a synthetic investment and risk management fund
US6360210B1 (en) * 1999-02-12 2002-03-19 Folio Trade Llc Method and system for enabling smaller investors to manage risk in a self-managed portfolio of assets/liabilities
US7634442B2 (en) * 1999-03-11 2009-12-15 Morgan Stanley Dean Witter & Co. Method for managing risk in markets related to commodities delivered over a network
CA2368931A1 (en) * 1999-06-02 2000-12-14 Algorithmics International Corp. Risk management system, distributed framework and method
US7225153B2 (en) * 1999-07-21 2007-05-29 Longitude Llc Digital options having demand-based, adjustable returns, and trading exchange therefor
US6321212B1 (en) * 1999-07-21 2001-11-20 Longitude, Inc. Financial products having a demand-based, adjustable return, and trading exchange therefor
US8126794B2 (en) 1999-07-21 2012-02-28 Longitude Llc Replicated derivatives having demand-based, adjustable returns, and trading exchange therefor
US7831494B2 (en) * 1999-11-01 2010-11-09 Accenture Global Services Gmbh Automated financial portfolio coaching and risk management system
US7401036B2 (en) * 2000-03-27 2008-07-15 Vande Pol Mark E Free-market environmental management system having insured certification to a process standard
US20030208407A1 (en) * 2000-04-11 2003-11-06 Arcufutures, Inc. System and Method for Commodity Futures Contract Trading Risk Management
IL152235A0 (en) * 2000-04-13 2003-05-29 Superderivitives Inc A method for pricing financial instruments
US7509274B2 (en) 2000-04-17 2009-03-24 Kam Kendrick W Internet-based system for identification, measurement and ranking of investment portfolio management, and operation of a fund supermarket, including “best investor” managed funds
AU2001259391A1 (en) * 2000-05-03 2001-11-12 Shelton E. Harrison Jr. Electronic bond and guaranty process and business method
US20020077947A1 (en) * 2000-12-14 2002-06-20 Ward David Charles Method and system for determining netted margins
WO2002015093A1 (en) * 2000-08-14 2002-02-21 Brown Brothers Harriman & Co. Margin settlement for exchange-traded futures contracts
US7395232B1 (en) 2000-08-30 2008-07-01 Traderisks, Inc. Method and system for providing financial functions
US7392212B2 (en) * 2000-09-28 2008-06-24 Jpmorgan Chase Bank, N.A. User-interactive financial vehicle performance prediction, trading and training system and methods
US7340430B2 (en) * 2000-09-28 2008-03-04 Ubs Ag Real-time trading system
US7580872B2 (en) * 2000-10-06 2009-08-25 Lic Development Llc Liquid insurance contracts
CA2327383C (en) * 2000-11-02 2005-06-14 National Steel Car Limited Dropped deck center beam rail road car
US7184984B2 (en) * 2000-11-17 2007-02-27 Valaquenta Intellectual Properties Limited Global electronic trading system
US20020111874A1 (en) * 2001-02-13 2002-08-15 Binnur Al-Kazily System and method for network based purchasing
US20040024692A1 (en) * 2001-02-27 2004-02-05 Turbeville Wallace C. Counterparty credit risk system
US20030009408A1 (en) * 2001-04-26 2003-01-09 Ittai Korin Providing financial portfolio risk measurement and analysis to remote client services via a network-based application programming interface
US20030130917A1 (en) * 2001-04-27 2003-07-10 Andrea Crovetto Computer system for determining the risk index of a financial instrument and relevant method
US7409367B2 (en) * 2001-05-04 2008-08-05 Delta Rangers Inc. Derivative securities and system for trading same
US20020194105A1 (en) * 2001-05-18 2002-12-19 Andrew Klein Process of and system for trading securities and options and markets related thereto
US7702563B2 (en) * 2001-06-11 2010-04-20 Otc Online Partners Integrated electronic exchange of structured contracts with dynamic risk-based transaction permissioning
US7430534B2 (en) * 2001-06-15 2008-09-30 Abb Ab System, method and computer program product for risk-minimization and mutual insurance relations in meteorology dependent activities
JP2003006436A (ja) * 2001-06-20 2003-01-10 Traders Shoken Kk 前受金を算出する機能を有する注文処理装置、前受金額算出方法及びその方法を実現するプログラム並びにそのプログラムを記録する記録媒体
GB2377040A (en) * 2001-06-25 2002-12-31 Secr Defence Financial portfolio risk management
US20030061148A1 (en) * 2001-07-16 2003-03-27 Shahram Alavian Financial derivative and derivative exchange with guaranteed settlement
US20030135448A1 (en) * 2002-01-10 2003-07-17 Scott Aguias System and methods for valuing and managing the risk of credit instrument portfolios
US6813459B2 (en) * 2002-01-11 2004-11-02 Seiko Epson Corporation Rotary developing device
US20030172017A1 (en) * 2002-03-11 2003-09-11 Vincent Feingold High performance multi-dimensional risk engines for enterprise wide market risk management
AU2003225355A1 (en) * 2002-04-30 2003-11-17 Maynard L. Dokken System and method for investing illiquid or restricted assets
US7395235B2 (en) 2002-06-13 2008-07-01 Centre For Development Of Advanced Computing Strategy independent optimization of multi objective functions
US20040019557A1 (en) * 2002-07-29 2004-01-29 Howard Yaruss Method and apparatus for protecting a lender having an interest in a property against a loss
US20040019555A1 (en) * 2002-07-29 2004-01-29 Adonay Lara Method of guaranteed return on a short-term investment
US20040044505A1 (en) * 2002-09-04 2004-03-04 Richard Horwitz Method and system for identifying risk factors
US7792735B1 (en) * 2002-11-26 2010-09-07 Trading Technologies International, Inc. System and method for risk management using average expiration times
US7698208B2 (en) * 2002-12-09 2010-04-13 Creditex Group, Inc. Systems and methods for an online credit derivative trading system
US20040139031A1 (en) * 2002-12-27 2004-07-15 Lee Amaitis Systems and methods for providing an interactive trading application
US20040172352A1 (en) * 2003-02-04 2004-09-02 Cyril Deretz Method and system for correlation risk hedging
KR20060123116A (ko) 2003-09-11 2006-12-01 시티 뱅크, 엔.에이. 자산 배분을 위한 방법 및 시스템
EP1533725A1 (en) * 2003-11-19 2005-05-25 Deutsche Börse Ag Valuation of a futures contract
US20050137956A1 (en) * 2003-12-19 2005-06-23 North American Energy Credit And Clearing Corporation Utilizing cash flow contracts and physical collateral for energy-related clearing and credit enhancement platforms
US7319984B2 (en) * 2004-04-20 2008-01-15 Goldman Sachs & Co. Method and apparatus for creating and administering a publicly traded interest in a commodity pool
US20060009997A1 (en) * 2004-07-12 2006-01-12 Arthur Felix Method for transforming subjective data to quantitative information for use in a decision making process
US7428508B2 (en) * 2004-09-10 2008-09-23 Chicago Mercantile Exchange System and method for hybrid spreading for risk management
GB0422411D0 (en) 2004-10-08 2004-11-10 Crescent Technology Ltd RiskBlade - a distributed risk budgeting architecture
US20070294158A1 (en) 2005-01-07 2007-12-20 Chicago Mercantile Exchange Asymmetric and volatility margining for risk offset
JP2009528634A (ja) 2006-03-01 2009-08-06 タウンセンド・アナリティクス・リミテッド リスク管理のための方法およびシステム
US20090018969A1 (en) 2007-06-07 2009-01-15 Ian Ayres Systems and methods for providing investment strategies
US7813988B2 (en) 2007-06-21 2010-10-12 New York Mercantile Exchange, Inc. Method and system for determining margin requirements
US7991671B2 (en) 2008-03-27 2011-08-02 Chicago Mercantile Exchange Inc. Scanning based spreads using a hedge ratio non-linear optimization model

Similar Documents

Publication Publication Date Title
JP4937126B2 (ja) 柔軟性のあるスプレッド参加のためのシステム及び方法
JP5057979B2 (ja) アクティビティに基づく証拠金計算のためのシステム及び方法
JP5057978B2 (ja) リスク管理システムにおいて非対称相殺を行うシステムおよび方法
JP5512085B2 (ja) 担保をリスク相殺に効率的に使用するためのシステム及び方法
JP4977027B2 (ja) 確定利益商品の証拠金調整のシステム及び方法
JP5183205B2 (ja) リスク管理ハイブリッドスプレッディングシステムおよび方法
JP2008515034A5 (enExample)
JP2008512779A5 (enExample)
JP2008512777A5 (enExample)
JP2008512778A5 (enExample)
JP2008512774A5 (enExample)
JP2008512776A5 (enExample)