Invention Application
- Patent Title: SCANNING BASED SPREADS USING A HEDGE RATIO NON-LINEAR OPTIMIZATION MODEL
- Patent Title (中): 基于扫描比例的非线性优化模型
-
Application No.: US12056465Application Date: 2008-03-27
-
Publication No.: US20090248588A1Publication Date: 2009-10-01
- Inventor: Muhammed Hadi , Amy Stephen , Ketan Patel , Dmitriy Glinberg
- Applicant: Muhammed Hadi , Amy Stephen , Ketan Patel , Dmitriy Glinberg
- Main IPC: G06Q40/00
- IPC: G06Q40/00
Abstract:
The disclosed embodiments utilize hedge ratios to determine the optimal hedge ratio and associated scanning spread. This tells traders what ratios of the quantities of products they should have in their portfolio in order to maintain the status of the portfolios as delta neutral, i.e. be delta hedged, and receive optimal margin credits therefore.
Public/Granted literature
- US07991671B2 Scanning based spreads using a hedge ratio non-linear optimization model Public/Granted day:2011-08-02
Information query
