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    Scanning based spreads using a hedge ratio non-linear optimization model
    3.
    发明授权
    Scanning based spreads using a hedge ratio non-linear optimization model 有权
    使用套期保值比非线性优化模型进行基于扫描的差价

    公开(公告)号：US08224730B2

    公开(公告)日：2012-07-17

    申请号：US13160817

    申请日：2011-06-15

    申请人： Muhammed Hadi ,  Amy Stephen ,  Ketan Patel ,  Dmitriy Glinberg

    发明人： Muhammed Hadi ,  Amy Stephen ,  Ketan Patel ,  Dmitriy Glinberg

    IPC分类号： G06Q40/00

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

    摘要： 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.

    摘要翻译： 所公开的实施例利用套期比率来确定最佳套期保值比率和相关联的扫描扩展。 这告诉交易者他们应该在其投资组合中产生多少产品的比例，以维持投资组合的状态为delta中性，即三角洲对冲，并因此获得最佳保证金信用。

    Scanning based spreads using a hedge ratio non-linear optimization model
    4.
    发明授权
    Scanning based spreads using a hedge ratio non-linear optimization model 有权
    使用套期保值比非线性优化模型进行基于扫描的差价

    公开(公告)号：US07991671B2

    公开(公告)日：2011-08-02

    申请号：US12056465

    申请日：2008-03-27

    申请人： Muhammed Hadi ,  Amy Stephen ,  Ketan Patel ,  Dmitriy Glinberg

    发明人： Muhammed Hadi ,  Amy Stephen ,  Ketan Patel ,  Dmitriy Glinberg

    IPC分类号： G06Q40/00

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

    摘要： 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.

    摘要翻译： 所公开的实施例利用套期比率来确定最佳套期保值比率和相关联的扫描扩展。 这告诉交易者他们应该在其投资组合中产生多少产品的比例，以维持投资组合的状态为delta中性，即三角洲对冲，并因此获得最佳保证金信用。

    Scanning based spreads using a hedge ratio non-linear optimization model
    5.
    发明授权
    Scanning based spreads using a hedge ratio non-linear optimization model 有权
    使用套期保值比非线性优化模型进行基于扫描的差价

    公开(公告)号：US08600864B2

    公开(公告)日：2013-12-03

    申请号：US13526253

    申请日：2012-06-18

    申请人： Muhammed Hadi ,  Amy Stephan ,  Ketan Patel ,  Dmitriy Glinberg

    发明人： Muhammed Hadi ,  Amy Stephan ,  Ketan Patel ,  Dmitriy Glinberg

    IPC分类号： G06Q40/00

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

    摘要： 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.

    摘要翻译： 所公开的实施例利用套期比率来确定最佳套期保值比率和相关联的扫描扩展。 这告诉交易者他们应该在其投资组合中产生多少产品的比例，以维持投资组合的状态为delta中性，即三角洲对冲，并因此获得最佳保证金信用。

    Scanning Based Spreads Using a Hedge Ratio Non-Linear Optimization Model
    6.
    发明申请
    Scanning Based Spreads Using a Hedge Ratio Non-Linear Optimization Model 有权
    使用对冲比非线性优化模型进行扫描

    公开(公告)号：US20120259798A1

    公开(公告)日：2012-10-11

    申请号：US13526253

    申请日：2012-06-18

    申请人： Muhammed Hadi ,  Amy Stephan ,  Ketan Patel ,  Dmitriy Glinberg

    发明人： Muhammed Hadi ,  Amy Stephan ,  Ketan Patel ,  Dmitriy Glinberg

    IPC分类号： G06Q40/06

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

    摘要： 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.

    摘要翻译： 所公开的实施例利用套期比率来确定最佳套期保值比率和相关联的扫描扩展。 这告诉交易者他们应该在其投资组合中产生多少产品的比例，以维持投资组合的状态为delta中性，即三角洲对冲，并因此获得最佳保证金信用。

    ASYMMETRIC AND VOLATILITY MARGINING FOR RISK OFFSET
    7.
    发明申请
    ASYMMETRIC AND VOLATILITY MARGINING FOR RISK OFFSET 审中-公开
    风险偏差的不对称和挥发性损失

    公开(公告)号：US20070294158A1

    公开(公告)日：2007-12-20

    申请号：US11845198

    申请日：2007-08-27

    申请人： Ketan Patel ,  Amy Stephen ,  Dmitriy Glinberg ,  Dale Michaels

    发明人： Ketan Patel ,  Amy Stephen ,  Dmitriy Glinberg ,  Dale Michaels

    IPC分类号： G06Q40/00 ,  G06F17/10

    CPC分类号： G06Q40/06

    摘要： A system and method for analyzing, administering and managing risk for portfolio including at least one product having substantially asymmetric risk exposures is disclosed. The system and method includes determining a first margin for a first position associated with a financial product, wherein the financial product represents an event having disparate risk positions, and determining a second margin for a second position associated with the financial product, wherein the second margin is related to the first margin as an exponential function. The system and method further include calculating a cash flow according to the first margin for the first position and the second margin for the second position.

    摘要翻译： 公开了一种用于分析，管理和管理投资组合风险的系统和方法，包括至少一种具有基本上不对称风险敞口的产品。 该系统和方法包括确定与金融产品相关联的第一位置的第一边距，其中所述金融产品表示具有不同风险位置的事件，以及确定与所述金融产品相关联的第二位置的第二边距，其中所述第二边距 与第一笔保证金作为指数函数有关。 该系统和方法还包括根据第一位置的第一余量和第二位置的第二余量来计算现金流量。

    System and method for displaying a combined trading and risk management GUI display
    8.
    发明授权
    System and method for displaying a combined trading and risk management GUI display 有权
    用于显示组合的交易和风险管理GUI显示的系统和方法

    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。

    System and Method for Efficiently Using Collateral for Risk Offset
    9.
    发明申请
    System and Method for Efficiently Using Collateral for Risk Offset 审中-公开
    有效利用抵押品进行风险抵消的制度和方法

    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。

    System and method of margining fixed payoff products
    10.
    发明授权
    System and method of margining fixed payoff products 有权
    固定收益产品保证金的制度和方法

    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。