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71. 发明申请

US20100017345A1 SYSTEM AND METHOD FOR MULTI-FACTOR MODELING, ANALYSIS AND MARGINING OF CREDIT DEFAULT SWAPS FOR RISK OFFSET 有权
标题翻译：用于风险偏差的信用违约风险的多因素建模，分析和计算的系统和方法
公开(公告)号：US20100017345A1
公开(公告)日：2010-01-21
申请号：US12559905
申请日：2009-09-15
申请人： MOHAMMED HADI , Ketan B. Patel , Michal Koblas , Dmitriy Glinberg
发明人： MOHAMMED HADI , Ketan B. Patel , Michal Koblas , 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。

72. 发明申请

US20090171824A1 MARGIN OFFSETS ACROSS PORTFOLIOS 审中-公开
标题翻译：玛格宁偏爱组合
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。

73. 发明申请

US20060265296A1 System and method for activity based margining 有权
公开(公告)号：US20060265296A1
公开(公告)日：2006-11-23
申请号：US11030815
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： G06Q40/04 , G06Q40/00 , G06Q40/025 , G06Q40/06
摘要： A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).

74. 发明申请

US20140081820A1 METHODS AND SYSTEMS FOR INTER-ACCOUNT MARGIN OPTIMIZATION 审中-公开
标题翻译：互联网优化的方法和系统
公开(公告)号：US20140081820A1
公开(公告)日：2014-03-20
申请号：US13891701
申请日：2013-05-10
申请人： Corey Farabi , Chad Voegele , Matt Simpson , Keith A. Anguish , Steve Ishmael , Dmitriy Glinberg , Igor Zolotarev , Rafet Evren Baysal , Jingbin Yin , Ziyi Wang
发明人： Corey Farabi , Chad Voegele , Matt Simpson , Keith A. Anguish , Steve Ishmael , Dmitriy Glinberg , Igor Zolotarev , Rafet Evren Baysal , Jingbin Yin , Ziyi Wang
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04
摘要： The disclosed embodiments relate to reducing, minimizing or otherwise optimizing margin requirements for a trader having both an interest rate (IR) futures and over-the-counter (OTC) interest rate swaps (IRS) accounts by efficiently allocating IR futures across both accounts.
摘要翻译：所披露的实施例涉及通过有效地分配两个账户的IR期货来减少，最小化或以其他方式优化具有利率（IR）期货和非处方（OTC）利率掉期（IRS））账户的交易者的保证金要求。

75. 发明授权

US08224730B2 Scanning based spreads using a hedge ratio non-linear optimization model 有权
标题翻译：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。

76. 发明申请

US20110288977A1 OPTION PRICING MODEL FOR EVENT DRIVEN INSTRUMENTS 审中-公开
标题翻译：事件驱动仪器的选件定价模型
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。

77. 发明授权

US08024255B2 Factorization of interest rate swap variation 有权
标题翻译：利率互换变动的因式分解
公开(公告)号：US08024255B2
公开(公告)日：2011-09-20
申请号：US11950117
申请日：2007-12-04
申请人： Keith A. Anguish , Sunil K. Cutinho , Dmitriy Glinberg , Suneel Iyer , Dale Michaels , Ketan B. Patel
发明人： Keith A. Anguish , Sunil K. 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。

78. 发明授权

US07991671B2 Scanning based spreads using a hedge ratio non-linear optimization model 有权
标题翻译：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。

79. 发明授权

US10726479B2 System and method for centralized clearing of over the counter foreign exchange instruments 有权
公开(公告)号：US10726479B2
公开(公告)日：2020-07-28
申请号：US11590540
申请日：2006-10-31
申请人： Paul Andrew Bauerschmidt , Dmitriy Glinberg , Edward M. Gogol , Stephen M. Goldman , Paul I. Lichter , Jeffrey Robert Mitchell , Ari L. Studnitzer , Tae Seok C. Yoo
发明人： Paul Andrew Bauerschmidt , Dmitriy Glinberg , Edward M. Gogol , Stephen M. Goldman , Paul I. Lichter , Jeffrey Robert Mitchell , Ari L. Studnitzer , Tae Seok C. Yoo
IPC分类号： G06Q40/00 , G06Q40/04
摘要： The disclosed systems and methods relate to allowing trading of over the counter (“OTC”) foreign exchange (“FX”) contracts on a centralized matching and clearing mechanism, such as that of the Chicago Mercantile Exchange's (“CME”'s) futures exchange system (the “Exchange”). The disclosed systems and methods allow for anonymous transactions, centralized clearing, efficient settlement and the provision of risk management/credit screening mechanisms to lower risk, reduce transaction costs and improve the liquidity in the FX market place. In particular, the disclosed embodiments increase speed of execution facilitating growing demand for algorithmic trading, increased price transparency, lower cost of trading, customer to customer trading, and automated asset allocations, recurring trades as well as clearing and settlement efficiencies.

80. 发明授权

US08600864B2 Scanning based spreads using a hedge ratio non-linear optimization model 有权
标题翻译：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。

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