公开(公告)号：US08326716B2

公开(公告)日：2012-12-04

申请号：US11545793

申请日：2006-10-10

申请人： John C. Hiatt, Jr. ,  Catherine T. Shalen ,  Daniel Feuser ,  Eric Chern ,  Paul Kepes ,  Andrew Hall ,  Lewis Biscamp

发明人： John C. Hiatt, Jr. ,  Catherine T. Shalen ,  Daniel Feuser ,  Eric Chern ,  Paul Kepes ,  Andrew Hall ,  Lewis Biscamp

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00

摘要： Systems and methods for creating a limited risk derivative based on a realized variance of an underlying equity is disclosed. In one implementation, a limited risk derivative product includes a capped value for a statistical property reflecting a variance of the underlying equity is calculated based on a pari-mutuel action. The capped value includes a dynamic value and a cap. The dynamic value reflects an average volatility of prices returns of the underlying equity over a predefined period of time and the cap reflects a maximum value of the dynamic value. The limited risk derivative product additionally includes an average of a summation of each squared daily return of the underlying equity included in the value for the statistical property reflecting the variance of the underlying equity.

摘要翻译： 披露了基于实现的相关股权差异创建有限风险衍生工具的制度和方法。 在一个实施中，有限风险衍生产品包括反映基础股权变动的统计属性的上限值是基于同步行为计算的。 上限值包括动态值和上限。 动态价值反映了在预定时间段内基础股权价格回报的平均波动幅度，上限反映了动态价值的最大值。 有限风险衍生产品还包括平均每个平均每日平均回报的相关权益的总和，包括在反映相关权益变动的统计财产的价值中。

公开(公告)号：US20060253370A1

公开(公告)日：2006-11-09

申请号：US11122748

申请日：2005-05-04

申请人： Daniel Feuser ,  Eric Chern ,  Paul Kepes ,  Andrew Hall ,  Lewis Biscamp ,  John Hiatt

发明人： Daniel Feuser ,  Eric Chern ,  Paul Kepes ,  Andrew Hall ,  Lewis Biscamp ,  John Hiatt

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04

摘要： A method of creating and trading derivative contracts based on a statistical property reflecting a variance of an underlying asset is disclosed. Typically, an underlying asset is chosen to be a base of a variance derivative and a processor calculates a value of the statistical property reflecting an average volatility of price returns of the underlying asset over a predefined period. A trading facility display device coupled to a trading platform then displays the variance derivative based on the value of the statistical property reflecting the volatility of the underlying asset and the trading facility transmits variance derivative quotes from liquidity providers over at least one dissemination network.

摘要翻译： 披露了基于反映相关资产差异的统计属性创建和交易衍生工具合约的方法。 通常，基础资产被选择为方差衍生工具的基础，处理器计算统计特性的值，反映了在预定义期间内标的资产的价格回报的平均波动率。 耦合到交易平台的交易设施显示设备然后基于反映相关资产的波动性的统计属性的值显示方差衍生物，并且交易设施通过至少一个传播网络向流动性提供者传送方差衍生报价。

公开(公告)号：US20130159160A1

公开(公告)日：2013-06-20

申请号：US13665413

申请日：2012-10-31

申请人： Daniel Feuser ,  Eric Chern ,  Paul Kepes ,  Andrew Hall ,  Lewis Biscamp ,  John C. Hiatt, JR. ,  Catherine T. Shalen

发明人： Daniel Feuser ,  Eric Chern ,  Paul Kepes ,  Andrew Hall ,  Lewis Biscamp ,  John C. Hiatt, JR. ,  Catherine T. Shalen

IPC分类号： G06Q40/04

CPC分类号： G06Q40/04 ,  G06Q40/00

摘要： A system and method for creating a limited risk derivative based on a realized variance of an underlying equity is disclosed. In one implementation, a limited risk derivative product includes a capped value for a statistical property reflecting a variance of the underlying equity is calculated based on a pari-mutuel action. The capped value comprises a dynamic value and a cap. The dynamic value reflects an average volatility of prices returns of the underlying equity over a predefined period of time and the cap reflects a maximum value of the dynamic value. The limited risk derivative product additionally includes an average of a summation of each squared daily return of the underlying equity included in the value for the statistical property reflecting the variance of the underlying equity.

摘要翻译： 披露了一种基于实现的相关股权差异创建有限风险衍生工具的制度和方法。 在一个实施中，有限风险衍生产品包括反映基础股权变动的统计属性的上限值是基于同步行为计算的。 上限值包括动态值和上限。 动态价值反映了在预定时间段内基础股权价格回报的平均波动幅度，上限反映了动态价值的最大值。 有限风险衍生产品还包括平均每个平均每日平均回报的相关权益的总和，包括在反映相关权益变动的统计财产的价值中。

公开(公告)号：US08326715B2

公开(公告)日：2012-12-04

申请号：US11122748

申请日：2005-05-04

申请人： Daniel Feuser ,  Eric Chern ,  Paul Kepes ,  Andrew Hall ,  Lewis Biscamp ,  John C. Hiatt, Jr.

发明人： Daniel Feuser ,  Eric Chern ,  Paul Kepes ,  Andrew Hall ,  Lewis Biscamp ,  John C. Hiatt, Jr.

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04

摘要： Methods and systems for creating and trading derivative contracts based on a statistical property reflecting a variance of an underlying asset are disclosed. Typically, an underlying asset is chosen to be a base of a variance derivative and a processor calculates a value of the statistical property reflecting an average volatility of price returns of the underlying asset over a predefined period. A trading facility display device coupled to a trading platform then displays the variance derivative based on the value of the statistical property reflecting the volatility of the underlying asset and the trading facility transmits variance derivative quotes from liquidity providers over at least one dissemination network.

摘要翻译： 披露了基于反映相关资产差异的统计属性创建和交易衍生工具合同的方法和系统。 通常，基础资产被选择为方差衍生工具的基础，处理器计算统计特性的值，反映了在预定义期间内标的资产的价格回报的平均波动率。 耦合到交易平台的交易设施显示设备然后基于反映相关资产的波动性的统计属性的值显示方差衍生物，并且交易设施通过至少一个传播网络向流动性提供者传送方差衍生报价。

公开(公告)号：US20130159159A1

公开(公告)日：2013-06-20

申请号：US13665381

申请日：2012-10-31

申请人： Daniel Feuser ,  Eric Chern ,  Paul Kepes ,  Andrew Hall ,  Lewis Biscamp ,  John C. Hiatt, JR.

发明人： Daniel Feuser ,  Eric Chern ,  Paul Kepes ,  Andrew Hall ,  Lewis Biscamp ,  John C. Hiatt, JR.

IPC分类号： G06Q40/04

CPC分类号： G06Q40/04

摘要： A method of creating and trading derivative contracts based on a statistical property reflecting a variance of an underlying asset is disclosed. Typically, an underlying asset is chosen to be a base of a variance derivative and a processor calculates a value of the statistical property reflecting an average volatility of price returns of the underlying asset over a predefined period. A trading facility display device coupled to a trading platform then displays the variance derivative based on the value of the statistical property reflecting the volatility of the underlying asset and the trading facility transmits variance derivative quotes from liquidity providers over at least one dissemination network.

摘要翻译： 披露了基于反映相关资产差异的统计属性创建和交易衍生工具合约的方法。 通常，基础资产被选择为方差衍生工具的基础，处理器计算统计特性的值，反映了在预定义期间内标的资产的价格回报的平均波动率。 耦合到交易平台的交易设施显示设备然后基于反映相关资产的波动性的统计属性的值显示方差衍生物，并且交易设施通过至少一个传播网络向流动性提供者传送方差衍生报价。