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61. 发明申请

US20060059068A1 System and method for hybrid spreading for risk management 有权
标题翻译：用于风险管理的混合扩散系统和方法
公开(公告)号：US20060059068A1
公开(公告)日：2006-03-16
申请号：US11030869
申请日：2005-01-07
申请人： Dmitriy Glinberg , Tae Yoo , Dale Michaels , Edward Gogol
发明人： Dmitriy Glinberg , Tae Yoo , Dale Michaels , Edward Gogol
IPC分类号： G06Q40/00
CPC分类号： G06Q40/08 , G06Q40/00 , G06Q40/04 , G06Q40/06
摘要： A risk management system and method is disclosed which utilizes a flexible and configurable set of spreading techniques which may be incorporated into existing risk management software to enhance functionality, flexibility and accuracy. In the disclosed embodiments, multiple different types of spreading are combined to allow for a more accurate assessment of risk. In one exemplary embodiment, a subset of the derivative products held by a futures trader are first analyzed by the scanning based spreading methodology. Typically, futures products in the same class of products (e.g. equity futures or agricultural futures) would be analyzed together by the scanning based spreading methodology. Then an average delta would be calculated for that subset. Using that delta, that subset would then be analyzed in relation to the remaining derivative products(not in the subset) using a delta based spreading methodology. The delta for the subset could be computed in a variety of ways including scaling the deltas for each product, tying the delta to a fixed time period or other methods.
摘要翻译：公开了一种风险管理系统和方法，该风险管理系统和方法利用可以并入现有风险管理软件的灵活且可配置的一组扩展技术，以增强功能性，灵活性和准确性。在所公开的实施例中，组合多种不同类型的扩展以允许更准确地评估风险。在一个示例性实施例中，由期货交易者持有的衍生产品的子集首先通过基于扫描的扩展方法进行分析。通常，同一类产品（例如股票期货或农业期货）中的期货产品将通过基于扫描的扩展方法进行一起分析。然后计算该子集的平均增量。使用该增量，然后将使用基于增量的扩展方法来分析该子集相对于剩余的衍生产品（而不是子集）。可以以各种方式计算子集的增量，包括缩放每个产品的增量，将增量绑定到固定时间段或其他方法。

62. 发明申请

US20120041892A1 OPTION PRICING MODEL FOR EVENT DRIVEN CALL AND PUT OPTIONS 有权
标题翻译：用于事件驱动呼叫和选择选项的选项定价模型
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。

63. 发明授权

US08103578B2 System and method for multi-factor modeling, analysis and margining of credit default swaps for risk offset 有权
标题翻译：信用违约掉期风险抵消的多因素建模，分析和保证金的系统和方法
公开(公告)号：US08103578B2
公开(公告)日：2012-01-24
申请号：US12559905
申请日：2009-09-15
申请人： Michal Koblas , Mohammed Hadi , Ketan B. Patel , Dmitriy Glinberg
发明人： Michal Koblas , Mohammed Hadi , Ketan B. Patel , Dmitriy Glinberg
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/025 , G06Q40/06
摘要： A system and method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The system and method include receiving a plurality of data associated with the plurality of financial instruments within the portfolio, determining a systematic risk margin based on at least a portion of the received plurality of data, determining a curve risk margin based on at least a second portion of the received plurality of data, determining a convergence and divergence risk margin based on at least a third portion of the received plurality of data, determining a sector risk margin based on at least a fourth portion of the received plurality of data, determining an idiosyncratic risk margin based on at least a fifth portion of the received plurality of data, determining a liquidity risk margin based on at least a sixth portion of the received plurality of data, determining a basis risk margin based on at least a seventh portion of the received plurality of data, and calculating a multi-factor risk margin based on one more of the determined risk factors.
摘要翻译：公开了一种用于确定与投资组合内的多个金融工具相关联的保证金要求的系统和方法。该系统和方法包括接收与投资组合内的多个金融工具相关联的多个数据，基于所接收的多个数据的至少一部分来确定系统风险余额，基于至少第二个接收的多个数据的一部分，基于所接收的多个数据的至少第三部分确定收敛和发散风险余额，基于所接收的多个数据的至少第四部分确定扇区风险余量，确定一个基于接收到的多个数据的至少五分之一的特殊风险余额，基于所接收的多个数据的至少第六部分确定流动性风险余额，基于至少第七部分的收到多个数据，并根据确定的危险因素中的一个以上计算多因素风险余额。

64. 发明授权

US08756139B2 Option pricing model for event driven call and put options 有权
标题翻译：事件驱动调用和放置选项的期权定价模型
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。

65. 发明申请

US20110307369A1 FACTORIZATION OF INTEREST RATE SWAP VARIATION 审中-公开
标题翻译：利率交换的变化
公开(公告)号：US20110307369A1
公开(公告)日：2011-12-15
申请号：US13213703
申请日：2011-08-19
申请人： Keith Alan Anguish , Sunil Kiran Cutinho , Dmitriy Glinberg , Suneel Iyer , Dale Michaels , Ketan B. Patel
发明人： Keith Alan Anguish , Sunil Kiran Cutinho , Dmitriy Glinberg , Suneel Iyer , Dale Michaels , Ketan B. Patel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/04
摘要： Methods are described for processing and clearing derivative products such as interest rate swaps (IRSs). A swap value factor (SVF) may be generated to calculate the mark-to-market value of an IRS. The SVF may be a function of interest rates derived from a yield curve. Cash flow may be generated between the buyer and the seller to reflect the change in the market price of the derivative, i.e., the mark-to-market process. The results of a cleared swap may be used to determine or alter the margin deposit required by the buyer or seller.
摘要翻译：描述了处理和清算衍生产品的方法，如利率互换（IRS）。可以生成交换值因子（SVF）来计算IRS的市值。 SVF可以是从收益率曲线得到的利率的函数。买方和卖方之间可能产生现金流，以反映衍生工具的市场价格变化，即市场上市流程。清算互换的结果可用于确定或更改买方或卖方所需的保证金。

66. 发明授权

US08036972B2 Option pricing model for event driven instruments 有权
标题翻译：事件驱动仪器的期权定价模型
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。

67. 发明申请

US20080249958A1 FACTORIZATION OF INTEREST RATE SWAP VARIATION 有权
标题翻译：利率交换的变化
公开(公告)号：US20080249958A1
公开(公告)日：2008-10-09
申请号：US11950117
申请日：2007-12-04
申请人： Keith Alan Anguish , Sunil Kiran Cutinho , Dmitriy Glinberg , Suneel Iyer , Dale Michaels , Ketan B. Patel
发明人： Keith Alan Anguish , Sunil Kiran Cutinho , Dmitriy Glinberg , Suneel Iyer , Dale Michaels , Ketan B. Patel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/04
摘要： Methods are described for processing and clearing derivative products such as interest rate swaps (IRSs). A swap value factor (SVF) may be generated to calculate the mark-to-market value of an IRS. The SVF may be a function of interest rates derived from a yield curve. Cash flow may be generated between the buyer and the seller to reflect the change in the market price of the derivative, i.e., the mark-to-market process. The results of a cleared swap may be used to determine or alter the margin deposit required by the buyer or seller.
摘要翻译：描述了处理和清算衍生产品的方法，如利率互换（IRS）。可以生成交换值因子（SVF）来计算IRS的市值。 SVF可以是从收益率曲线得到的利率的函数。买方和卖方之间可能产生现金流，以反映衍生工具的市场价格变化，即市场上市流程。清算互换的结果可用于确定或更改买方或卖方所需的保证金。

68. 发明申请

US20070294158A1 ASYMMETRIC AND VOLATILITY MARGINING FOR RISK OFFSET 审中-公开
标题翻译：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。

69. 发明申请

US20060059065A1 System and method for displaying a combined trading and risk management GUI display 有权
标题翻译：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：US20060059065A1
公开(公告)日：2006-03-16
申请号：US11030814
申请日：2005-01-07
申请人： Dmitriy Glinberg , Tae Yoo , Jodi Abudarham , Dale Michaels
发明人： Dmitriy Glinberg , Tae Yoo , Jodi Abudarham , Dale Michaels
IPC分类号： G06Q40/00
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。

70. 发明申请

US20110246394A1 SCANNING BASED SPREADS USING A HEDGE RATIO NON-LINEAR OPTIMIZATION MODEL 有权
标题翻译：基于扫描比例的非线性优化模型
公开(公告)号：US20110246394A1
公开(公告)日：2011-10-06
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。

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