公开(公告)号：US20120041892A1

公开(公告)日：2012-02-16

申请号：US13229237

申请日：2011-09-09

申请人： Dmitriy Glinberg ,  Feliks Landa

发明人： Dmitriy Glinberg ,  Feliks Landa

IPC分类号： G06Q40/06

CPC分类号： G06Q40/06 ,  G06Q40/04

摘要： Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements.

摘要翻译： 提供系统和方法用于评估事件驱动的期权合约。 基于跳跃扩散的模型，例如基于默顿跳跃扩散的模型，被修改为假设潜在价格和单次跳跃的算术运动。 潜在价格的算术运算可以用基于Bachelier的算术模型来建模。 计算值可用于确定保证金账户要求。

公开(公告)号：US20110288977A1

公开(公告)日：2011-11-24

申请号：US13111602

申请日：2011-05-19

申请人： Dmitriy Glinberg ,  Feliks Landa

发明人： Dmitriy Glinberg ,  Feliks Landa

IPC分类号： G06Q40/00

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

摘要： Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements.

摘要翻译： 提供系统和方法用于评估事件驱动的期权合约。 基于跳跃扩散的模型，例如基于默顿跳跃扩散的模型，被修改为假设潜在价格和单次跳跃的算术运动。 潜在价格的算术运算可以用基于Bachelier的算术模型来建模。 计算值可用于确定保证金账户要求。

公开(公告)号：US20090171824A1

公开(公告)日：2009-07-02

申请号：US11965221

申请日：2007-12-27

申请人： Dmitriy Glinberg ,  Edward M. Gogol ,  Aleksandr Bagmet ,  Feliks Landa

发明人： Dmitriy Glinberg ,  Edward M. Gogol ,  Aleksandr Bagmet ,  Feliks Landa

IPC分类号： G06Q40/00

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

摘要： A method for managing a risk associated with a plurality portfolios wherein each of the plurality of portfolios includes a plurality of positions representative of products traded on an exchange is disclosed. The method includes determining a risk assessment for each of a plurality of portfolios, calculating a margin offset associated with each of the plurality of portfolios, adjusting the risk assessments associated with each of the plurality of portfolios as a function of the margin offset, determining a portfolio risk assessment for the plurality of portfolios, and calculating a margin requirements for the plurality of portfolios, wherein the margin requirement calculated as a function of the portfolio risk assessment.

摘要翻译： 一种用于管理与多个投资组合相关联的风险的方法，其中所述多个投资组合中的每一个包括代表在交易所上交易的产品的多个位置。 该方法包括确定多个投资组合中的每个投资组合的风险评估，计算与多个投资组合中的每个投资组合相关联的边际偏移，调整与多个投资组合中的每一个相关联的风险评估作为边际偏移的函数，确定 对多个投资组合的投资组合风险评估，以及计算多个投资组合的保证金要求，其中作为投资组合风险评估函数计算的保证金要求。

公开(公告)号：US08756139B2

公开(公告)日：2014-06-17

申请号：US13229237

申请日：2011-09-09

申请人： Dmitriy Glinberg ,  Feliks Landa

发明人： Dmitriy Glinberg ,  Feliks Landa

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q40/04

摘要： Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements.

摘要翻译： 提供系统和方法用于评估事件驱动的期权合约。 基于跳跃扩散的模型，例如基于默顿跳跃扩散的模型，被修改为假设潜在价格和单次跳跃的算术运动。 潜在价格的算术运算可以用基于Bachelier的算术模型来建模。 计算值可用于确定保证金账户要求。

公开(公告)号：US08036972B2

公开(公告)日：2011-10-11

申请号：US12245448

申请日：2008-10-03

申请人： Dmitriy Glinberg ,  Feliks Landa

发明人： Dmitriy Glinberg ,  Feliks Landa

IPC分类号： G06Q40/00

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

摘要： Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements.

摘要翻译： 提供系统和方法用于评估事件驱动的期权合约。 基于跳跃扩散的模型，例如基于默顿跳跃扩散的模型，被修改为假设潜在价格和单次跳跃的算术运动。 潜在价格的算术运算可以用基于Bachelier的算术模型来建模。 计算值可用于确定保证金账户要求。

公开(公告)号：US20100088209A1

公开(公告)日：2010-04-08

申请号：US12245448

申请日：2008-10-03

申请人： Dmitriy Glinberg ,  Feliks Landa

发明人： Dmitriy Glinberg ,  Feliks Landa

IPC分类号： G06Q40/00

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

摘要： Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements.

摘要翻译： 提供系统和方法用于评估事件驱动的期权合约。 基于跳跃扩散的模型，例如基于默顿跳跃扩散的模型，被修改为假设潜在价格和单次跳跃的算术运动。 潜在价格的算术运算可以用基于Bachelier的算术模型来建模。 计算值可用于确定保证金账户要求。

公开(公告)号：US08849711B2

公开(公告)日：2014-09-30

申请号：US11030814

申请日：2005-01-07

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Jodi L. Abudarham ,  Dale A. Michaels

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Jodi L. Abudarham ,  Dale A. Michaels

IPC分类号： G06Q40/00 ,  G06Q40/04 ,  G06Q40/06 ,  G06Q40/08

CPC分类号： G06Q40/06 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/08

摘要： A graphic user interface is disclosed that combines a traditional trading, bookkeeping system or clearing system window with a detailed margin and/or collateral asset calculation analysis window on a single screen. The disclosed GUI provides the flexibility to analyze any combination of products or instrument classes such as single stock futures, futures (of all types), options (of all types), forward contracts, security options, securities and cash-based assets. Conventional systems merely block entry of orders beyond a predetermined credit limit or display clearing/bookkeeping information on all types of portfolio or accounts. The disclosed GUI, in an automated real-time or manual execution control basis, provide the user useful information (all types of numerical and/or graphical display) concerning which products contribute to and how much each product position contribute to the margin limits on, for example, multiple levels; all types of product level, product period (duration) level, account level and clearing level, etc. In one embodiment, the margin window may include a “what if” Scenario Panel and an “Actuals” Margin Analysis Panel. This Scenario Panel allows the user to experiment with “what-if” scenarios in real time or on an as-needed basis. This allows the user to better assess the changes an “actual” position(s) or “what-if” position(s) may have on the margin requirements on all account level types. Further, the actual panel displays the account's actual positions and the associated contributions each position has to that account's margin requirements.

摘要翻译： 公开了一种图形用户界面，其在单个屏幕上将传统的交易，记账系统或清算系统窗口与详细的保证金和/或附属资产计算分析窗口相结合。 所公开的GUI提供了灵活性来分析产品或仪器类别的任何组合，例如单一股票期货，所有类型的期货（所有类型的期权），远期合约，证券期权，证券和现金资产。 常规系统仅阻止超出预定信用限额的订单输入或显示关于所有类型的投资组合或账户的清算/记账信息。 所公开的GUI以自动化实时或手动执行控制为基础，为用户提供有关哪些产品所贡献的有用信息（所有类型的数字和/或图形显示）以及每个产品位置对边际限度的贡献， 例如，多层次; 所有类型的产品级别，产品期限（持续时间）级别，帐户级别和结算级别等。在一个实施例中，边际窗口可以包括“假设”情景面板和“实际”边距分析面板。 该场景面板允许用户实时或根据需要实验“假设”情景。 这允许用户更好地评估所有帐户级别类型的“实际”位置或“假设”位置对保证金要求的影响。 此外，实际面板显示该账户的实际头寸以及每个职位对该账户的保证金要求的相关贡献。

公开(公告)号：US20130159211A1

公开(公告)日：2013-06-20

申请号：US13528464

申请日：2012-06-20

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/04

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

摘要： A system and method for analyzing correlation between the assets given by the trader for collateral and that trader's open positions is disclosed. Thus, if the collateral is correlated to the trader's open positions, then some offset can be given. If there is no correlation than the collateral is valued in the conventional way. For example, if a trader provides t-bills as collateral for an account that has open positions (e.g. short futures) in T-bills, than that trader's account can be credited with some offset since the value of T-bills and T-bill futures are highly correlated.

摘要翻译： 披露了一种系统和方法，用于分析交易员提供的资产与抵押品之间的相关性以及该交易者的未平仓头寸。 因此，如果抵押品与交易者的敞口头寸相关，则可以给出一些偏移量。 如果没有相关性，则以常规方式评估抵押品。 例如，如果交易者提供账单作为T账单中具有未平仓头寸（例如短期期货）的抵押品，那么该交易者的账户可以从T账单和T账单的价值中扣除一定的抵消 期货高度相关。

公开(公告)号：US08341062B2

公开(公告)日：2012-12-25

申请号：US13300881

申请日：2011-11-21

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q20/102 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/08

摘要： A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof.

摘要翻译： 公开了一种用于确定固定回报产品的履约保证金的系统和方法，即基于潜在事件的结果而支付固定金额的合同，而不管其价值如何。 计算可能包含更多多个工具的整体投资组合的最糟糕的结果，允许投资组合在同一基础事件上兼顾长仓和空头头寸，并在投资组合中的工具之间进行抵消。 构建结果的整体包括具有单一结果的单事件及其概率，以及具有多个结果的单个事件，每个具有概率。 每个结果都有相关的价格和概率。 低概率事件将具有低值，导致较低的保证金要求。 因此，保证金要求是根据其概率进行调整的投资组合对潜在事件的任何可能结果所能承受的最大损失的金额。

公开(公告)号：US20120303550A1

公开(公告)日：2012-11-29

申请号：US13570061

申请日：2012-08-08

申请人： Dmitriy Glinberg ,  Edward Gogol ,  Dale A. Michaels

发明人： Dmitriy Glinberg ,  Edward Gogol ,  Dale A. Michaels

IPC分类号： G06Q40/06

CPC分类号： G06Q40/06 ,  G06Q40/025 ,  G06Q40/04

摘要： A computer-implemented method for analyzing a risk offset associated with a portfolio including a plurality of products traded on an exchange is disclosed. The method includes comparing a first market response of a first product in the portfolio with a second market response of a second product in the portfolio where the first and second market responses result from a change in market data, calculating an offsetting effect between the first market response and the second market response where the first and second market responses are substantially different responses to the same change in the market data, determining a diversification spread based on the offsetting effect derived between the first product and the second product, calculating a diversification spread credit based on the determined diversification spread, and adjusting a margin requirement for the portfolio based on the diversification spread credit.

摘要翻译： 公开了一种用于分析与包括在交易所上交易的多个产品的投资组合相关联的风险偏移的计算机实现的方法。 该方法包括将投资组合中的第一产品的第一市场反应与投资组合中的第二产品的第二市场反应进行比较，其中第一和第二市场反应由市场数据的变化产生，计算第一市场之间的抵消效应 响应和第二个市场反应，其中第一和第二市场反应与市场数据的相同变化的响应大不相同，基于在第一产品和第二产品之间产生的抵消效应来确定多元化扩展，计算多样化扩展信用 基于确定的多元化差距，并根据多元化扩张信贷调整投资组合的保证金要求。