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：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：US20110125626A1

公开(公告)日：2011-05-26

申请号：US12848790

申请日：2010-08-02

申请人： Catherine T. Shalen ,  Joanne Moffic-Silver

发明人： Catherine T. Shalen ,  Joanne Moffic-Silver

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q40/04

摘要： A method and system for creating and trading an investment instrument based on an initial public offering of an entity is disclosed that allows investors to take risk positions relative to the occurrence or non-occurrence of a contingent binary event. The contingent binary event will have one of two possible outcomes. In a digital derivative contract, a long investor agrees to pay a short investor a contract amount in return for the short investor agreeing to pay the long investor one of two different settlement amounts depending on the outcome as the contingent binary event. Typically, one settlement amount will be zero and the other will be an amount greater than the digital derivative contract price.

摘要翻译： 披露了一种基于实体首次公开发行创建和交易投资工具的方法和系统，允许投资者相对于或有二进制事件的发生或不发生而承担风险头寸。 偶然的二进制事件将有两个可能的结果之一。 在数字衍生工具合约中，长期投资者同意向短期投资者支付合约金额作为回报，短期投资者同意根据结果作为或有二元事件向长期投资者支付两种不同的结算金额之一。 通常，一个结算金额将为零，另一个则是大于数字衍生工具合约价格的金额。

公开(公告)号：US08788381B2

公开(公告)日：2014-07-22

申请号：US12575250

申请日：2009-10-07

申请人： Catherine T. Shalen

发明人： Catherine T. Shalen

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06

摘要： An investment instrument is disclosed that allows investors to take risk positions relative to the occurrence or non-occurrence of a contingent binary event. The contingent binary event will have one of two possible outcomes. In a digital derivatives contract, a long investor agrees to pay a short investor a contract amount in return for the short investor agreeing to pay the long investor one of two different settlement amounts depending on the outcome as the contingent binary event. Typically, one settlement amount will be zero and the other will be an amount greater than the derivatives contract price.

摘要翻译： 披露投资工具，允许投资者相对于或有二进制事件的发生或不发生而采取风险头寸。 偶然的二进制事件将有两个可能的结果之一。 在数字衍生品合约中，长期投资者同意向短期投资者支付合约金额作为回报，短期投资者同意根据结算作为或有二进制事项向长期投资者支付两种不同的结算金额之一。 通常，一个结算金额将为零，另一个将是大于衍生工具合约价格的金额。

公开(公告)号：US20140201055A1

公开(公告)日：2014-07-17

申请号：US14070993

申请日：2013-11-04

申请人： Catherine T. Shalen

发明人： Catherine T. Shalen

IPC分类号： G06Q40/04

CPC分类号： G06Q40/04

摘要： Systems and methods for determining an index based on a covariance between two underlying assets is disclosed. In one implementation, a processor of a trading platform calculates a covariance index associated with two underlying assets, creates a covariance derivative associated with the two underlying assets based on the covariance index, and displays the covariance index and the covariance derivative on a trading display device coupled with the trading platform.

摘要翻译： 公开了基于两个相关资产之间的协方差确定指数的系统和方法。 在一个实现中，交易平台的处理器计算与两个相关资产相关联的协方差指数，基于协方差指数创建与两个相关资产相关联的协方差导数，并在交易显示设备上显示协方差指数和协方差导数 加上交易平台。

公开(公告)号：US20120022988A1

公开(公告)日：2012-01-26

申请号：US13113755

申请日：2011-05-23

申请人： Catherine T. Shalen

发明人： Catherine T. Shalen

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q10/087 ,  G06Q40/00 ,  G06Q40/06

摘要： Collateralized option index derivative investment instruments and methods for creating a collateralized option index are disclosed herein based on changes in a performance of collateralized option strategies. According to an aspect of the disclosure, a method for calculating a collateralized option index is disclosed. In one embodiment, the method for calculating a collateralized option index includes calculating a value of a portfolio invested in a collateralized short strategy according to the relation: Vt=Mt−NlastPt where Mt is a value of a LIBOR component of the portfolio at the close of date t, Nlast is a number of put options sold at a last roll date, and Pt is a price of the underlying option portfolio based on arithmetic averages of the last bid and ask prices of all options in the underlying option portfolio reported before a time on date t.

摘要翻译： 抵押品期权指数衍生投资工具和创建抵押期权指数的方法在此基于抵押期权策略的业绩变化进行披露。 根据本公开的一个方面，公开了一种用于计算抵押期权指数的方法。 在一个实施例中，用于计算抵押期权指数的方法包括根据以下关系计算投资于抵押短期策略的投资组合的价值：Vt = Mt-NlastPt其中Mt是投资组合的LIBOR分量在收盘时的值 的日期t，Nlast是在最后滚动日期出售的多种看跌期权，Pt是基于期权组合的价格，基于在前一个报告的基础期权组合中所有期权的最后一个投标和买卖价格的算术平均数 日期t时间

公开(公告)号：US08712891B1

公开(公告)日：2014-04-29

申请号：US13560308

申请日：2012-07-27

申请人： Catherine T. Shalen

发明人： Catherine T. Shalen

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04

摘要： A method and system for calculating a tail risk hedge index is disclosed where the tail risk hedge index is associated with a portfolio having an underlying asset and a volatility index option based on the underlying asset. The method includes, with a processor in a trading platform, calculating a tail risk hedge index (VXTH) associated with the portfolio having an underlying asset and a volatility index (VIX) option based on the underlying asset, and displaying the VXTH. The VXTH is calculated by compounding its value based on the equation: VXTHt=VXTHt-1*(1+RVXTH), where t is the close date and RVXTH is the daily net rate of return of the index. A trading platform for creating and disseminating the index, and for creating and trading a derivative based on the index, is also disclosed.

摘要翻译： 披露了一种用于计算尾部风险对冲指数的方法和系统，其中尾部风险对冲指数与具有相关资产的投资组合和基于相关资产的波动性指数期权相关联。 该方法包括与交易平台中的处理器一起计算与具有标的资产的投资组合相关联的尾部风险对冲指数（VXTH）和基于相关资产的波动指数（VIX）选项，并显示VXTH。 VXTH通过根据以下等式复合其值来计算：VXTHt = VXTHt-1 *（1 + RVXTH），其中t是关闭日期，RVXTH是指数的每日净回报率。 还披露了创建和传播指数以及根据指数创建和交易衍生品的交易平台。

公开(公告)号：US08438094B2

公开(公告)日：2013-05-07

申请号：US13041107

申请日：2011-03-04

申请人： Catherine T. Shalen

发明人： Catherine T. Shalen

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06

摘要： Systems and methods for creating and disseminating a SKEW index based on a statistical property reflecting the skewness of an underlying asset and creating and trading derivative investment products based on the SKEW index are disclosed. In one aspect, a SKEW index associated with an underlying asset is calculated. The SKEW index is accessed and a SKEW derivative is created based on the SKEW index. Information associated width the SKEW derivative is then transmitted for display.

摘要翻译： 披露了基于反映标的资产偏倚的统计特征和基于SKEW指数创造和交易衍生投资产品的SKEW指数的系统和方法。 一方面，计算与标的资产相关联的SKEW指数。 访问SKEW索引，并基于SKEW索引创建SKEW衍生。 信息相关宽度SKEW导数然后被发送以进行显示。

公开(公告)号：US20130097064A1

公开(公告)日：2013-04-18

申请号：US13553341

申请日：2012-07-19

申请人： Catherine T. Shalen

发明人： Catherine T. Shalen

IPC分类号： G06Q40/04

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06

摘要： A method and system for creating a volatility benchmark index is disclosed. The method includes obtaining a value of a Treasury bill account less a mark-to-market value of at least one of a volatility-based future or option and calculating a value reflecting a volatility benchmark. The value may be displayed at a trading facility and volatility benchmark quotes may be transmitted by the trading facility to a market participant.

公开(公告)号：US08321322B2

公开(公告)日：2012-11-27

申请号：US12892212

申请日：2010-09-28

申请人： Catherine T. Shalen

发明人： Catherine T. Shalen

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/06

摘要： A method and system for creating a spot price tracker index is disclosed. The method includes obtaining values of first and second derivatives at a time t and calculating an index value by linear extrapolation from the first and second futures contracts. The index value may be displayed at a trading facility and quotes based on the index value may be transmitted by the trading facility to a market participant.

摘要翻译： 公开了一种用于创建现货价格跟踪指数的方法和系统。 该方法包括在时间t获得第一和第二衍生值的值，并通过来自第一和第二期货合约的线性外推来计算指数值。 指标值可以在交易设施处显示，并且基于指数值的报价可以由交易设施传送给市场参与者。