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1. 发明授权

US07634449B2 Method for managing risk in markets related to commodities delivered over a network 有权
标题翻译：管理通过网络交付的商品市场风险的方法
公开(公告)号：US07634449B2
公开(公告)日：2009-12-15
申请号：US11898135
申请日：2007-09-10
申请人： Fernando L. Alvarado , Rajesh Rajaraman
发明人： Fernando L. Alvarado , Rajesh Rajaraman
IPC分类号： G06F17/00
CPC分类号： G06Q40/06 , G06Q30/0206 , G06Q40/025 , G06Q40/04 , G06Q50/06 , G06Q50/22 , Y04S10/54 , Y04S10/58 , Y04S50/14
摘要： A system, method, software, and portfolios for managing risk in markets relating to a commodity delivered over a network are described, in which a market participant constructs portfolios of preferably liquid price risk instruments in proportions that eliminate the Spatial Price Risk for the market participant's underlying position. Techniques are also disclosed for constructing and evaluating new price risk instruments and other sets of positions, as well as identifying arbitrage opportunities in those markets. In particular, a “deltas vector” is calculated concerning a portfolio of future positions and derivative contracts, wherein the “deltas vector” is the partial derivative of the market participant's net market position taken with respect to the forward shadow prices λ of the network which depend upon congestion in the network. The “deltas vector” can then be used to simplify the valuation of a derivative contract, develop a hedging strategy, evaluate a hedging strategy with respect to congestion, identify a successful bidding strategy at auctions of derivative contracts, and determine an optimal position in a multi-settlement nodal market. Moreover, techniques are also described for evaluating the matrix of Power Transfer Distribution Factors and loss factors (comprising the A matrix) that are needed to estimate the “deltas vector”.
摘要翻译：描述了一种用于管理与通过网络交付的商品有关的市场风险的系统，方法，软件和组合，其中市场参与者以比例消除了市场参与者的空间价格风险的比例来构建优选流动性价格风险工具的投资组合潜在的位置。还披露了构建和评估新的价格风险工具和其他职位以及确定这些市场的套利机会的技术。特别地，关于未来位置和衍生合约的投资组合计算“三角洲向量”，其中“三角洲向量”是市场参与者相对于网络的前向影子价格λ获得的净市场位置的偏导数，取决于网络中的拥塞。然后可以使用“三角洲向量”来简化衍生合约的估值，制定对冲策略，评估拥堵的套期保值策略，在衍生合约拍卖中确定成功的投标策略，并确定最佳位置多结算点市场。此外，还描述了用于评估功率传输分布因子矩阵和估计“三角洲矢量”所需的损耗因子（包括A矩阵）的技术。

2. 发明申请

US20060026096A1 Method for managing risk in markets related to commodities delivered over a network 有权
公开(公告)号：US20060026096A1
公开(公告)日：2006-02-02
申请号：US11236669
申请日：2005-09-28
申请人： Fernando Alvarado , Rajesh Rajaraman
发明人： Fernando Alvarado , Rajesh Rajaraman
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/00 , G06Q40/025 , G06Q40/04
摘要： A system, method, software, and portfolios for managing risk in markets relating to a commodity delivered over a network are described, in which a market participant constructs portfolios of preferably liquid price risk instruments in proportions that eliminate the Spatial Price Risk for the market participant's underlying position. Techniques are also disclosed for constructing and evaluating new price risk instruments and other sets of positions, as well as identifying arbitrage opportunities in those markets.

3. 发明申请

US20060026095A1 Method for managing risk in markets related to commodities delivered over a network 有权
公开(公告)号：US20060026095A1
公开(公告)日：2006-02-02
申请号：US11236600
申请日：2005-09-28
申请人： Fernando Alvarado , Rajesh Rajaraman
发明人： Fernando Alvarado , Rajesh Rajaraman
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/00 , G06Q40/025 , G06Q40/04
摘要： A system, method, software, and portfolios for managing risk in markets relating to a commodity delivered over a network are described, in which a market participant constructs portfolios of preferably liquid price risk instruments in proportions that eliminate the Spatial Price Risk for the market participant's underlying position. Techniques are also disclosed for constructing and evaluating new price risk instruments and other sets of positions, as well as identifying arbitrage opportunities in those markets.

4. 发明授权

US07716102B1 Method for managing risk in markets related to commodities delivered over a network 有权
标题翻译：管理通过网络交付的商品市场风险的方法
公开(公告)号：US07716102B1
公开(公告)日：2010-05-11
申请号：US09522709
申请日：2000-03-10
申请人： Fernando L. Alvarado , Rajesh Rajaraman
发明人： Fernando L. Alvarado , Rajesh Rajaraman
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/00 , G06Q40/025 , G06Q40/04
摘要： A system, method, software, and portfolios for managing risk in markets relating to a commodity delivered over a network are described, in which a market participant constructs portfolios of preferably liquid price risk instruments in proportions that eliminate the Spatial Price Risk for the market participant's underlying position. Techniques are also disclosed for constructing and evaluating new price risk instruments and other sets of positions, as well as identifying arbitrage opportunities in those markets.
摘要翻译：描述了一种用于管理与通过网络交付的商品有关的市场风险的系统，方法，软件和组合，其中市场参与者以比例消除了市场参与者的空间价格风险的比例来构建优选流动性价格风险工具的投资组合潜在的位置。还披露了构建和评估新的价格风险工具和其他职位的技术，以及确定这些市场的套利机会。

5. 发明授权

US07567926B2 Method for managing risk in markets related to commodities delivered over a network 有权
标题翻译：管理通过网络交付的商品市场风险的方法
公开(公告)号：US07567926B2
公开(公告)日：2009-07-28
申请号：US11236669
申请日：2005-09-28
申请人： Fernando L. Alvarado , Rajesh Rajaraman
发明人： Fernando L. Alvarado , Rajesh Rajaraman
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/00 , G06Q40/025 , G06Q40/04
摘要： A system, method, software, and portfolios for managing risk in markets relating to a commodity delivered over a network are described, in which a market participant constructs portfolios of preferably liquid price risk instruments in proportions that eliminate the Spatial Price Risk for the market participant's underlying position. Techniques are also disclosed for constructing and evaluating new price risk instruments and other sets of positions, as well as identifying arbitrage opportunities in those markets.
摘要翻译：描述了一种用于管理与通过网络交付的商品有关的市场风险的系统，方法，软件和组合，其中市场参与者以比例消除了市场参与者的空间价格风险的比例来构建优选流动性价格风险工具的投资组合潜在的位置。还披露了构建和评估新的价格风险工具和其他职位的技术，以及确定这些市场的套利机会。

6. 发明申请

US20080005009A1 Method for managing risk in markets related to commodities delivered over a network 有权
公开(公告)号：US20080005009A1
公开(公告)日：2008-01-03
申请号：US11898136
申请日：2007-09-10
申请人： Fernando Alvarado , Rajesh Rajaraman
发明人： Fernando Alvarado , Rajesh Rajaraman
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q30/0206 , G06Q40/025 , G06Q40/04 , G06Q50/06 , G06Q50/22 , Y04S10/54 , Y04S10/58 , Y04S50/14
摘要： A system, method, software, and portfolios for managing risk in markets relating to a commodity delivered over a network are described, in which a market participant constructs portfolios of preferably liquid price risk instruments in proportions that eliminate the Spatial Price Risk for the market participant's underlying position. Techniques are also disclosed for constructing and evaluating new price risk instruments and other sets of positions, as well as identifying arbitrage opportunities in those markets. In particular, a “deltas vector” is calculated concerning a portfolio of future positions and derivative contracts, wherein the “deltas vector” is the partial derivative of the market participant's net market position taken with respect to the forward shadow prices λ of the network which depend upon congestion in the network. The “deltas vector” can then be used to simplify the valuation of a derivative contract, develop a hedging strategy, evaluate a hedging strategy with respect to congestion, identify a successful bidding strategy at auctions of derivative contracts, and determine an optimal position in a multi-settlement nodal market. Moreover, techniques are also described for evaluating the matrix of Power Transfer Distribution Factors and loss factors (comprising the A matrix) that are needed to estimate the “deltas vector”.

7. 发明授权

US07634442B2 Method for managing risk in markets related to commodities delivered over a network 有权
公开(公告)号：US07634442B2
公开(公告)日：2009-12-15
申请号：US10118330
申请日：2002-04-09
申请人： Fernando L. Alvarado , Rajesh Rajaraman
发明人： Fernando L. Alvarado , Rajesh Rajaraman
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q30/0206 , G06Q40/025 , G06Q40/04 , G06Q50/06 , Y04S10/54 , Y04S10/58 , Y04S50/14
摘要： A system, method, software, and portfolios for managing risk in markets relating to a commodity delivered over a network are described, in which a market participant constructs portfolios of preferably liquid price risk instruments in proportions that eliminate the Spatial Price Risk for the market participant's underlying position. Techniques are also disclosed for constructing and evaluating new price risk instruments and other sets of positions, as well as identifying arbitrage opportunities in those markets. In particular, a “deltas vector” is calculated concerning a portfolio of future positions and derivative contracts, wherein the “deltas vector” is the partial derivative of the market participant's net market position taken with respect to the forward shadow prices λ of the network which depend upon congestion in the network. The “deltas vector” can then be used to simplify the valuation of a derivative contract, develop a hedging strategy, evaluate a hedging strategy with respect to congestion, identify a successful bidding strategy at auctions of derivative contracts, and determine an optimal position in a multi-settlement nodal market. Moreover, techniques are also described for evaluating the matrix of Power Transfer Distribution Factors and loss factors (comprising the A matrix) that are needed to estimate the “deltas vector”.

8. 发明授权

US07634441B2 Method for managing risk in markets related to commodities delivered over a network 有权
公开(公告)号：US07634441B2
公开(公告)日：2009-12-15
申请号：US11898136
申请日：2007-09-10
申请人： Fernando L. Alvarado , Rajesh Rajaraman
发明人： Fernando L. Alvarado , Rajesh Rajaraman
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q30/0206 , G06Q40/025 , G06Q40/04 , G06Q50/06 , G06Q50/22 , Y04S10/54 , Y04S10/58 , Y04S50/14
摘要： A system, method, software, and portfolios for managing risk in markets relating to a commodity delivered over a network are described, in which a market participant constructs portfolios of preferably liquid price risk instruments in proportions that eliminate the Spatial Price Risk for the market participant's underlying position. Techniques are also disclosed for constructing and evaluating new price risk instruments and other sets of positions, as well as identifying arbitrage opportunities in those markets. In particular, a “deltas vector” is calculated concerning a portfolio of future positions and derivative contracts, wherein the “deltas vector” is the partial derivative of the market participant's net market position taken with respect to the forward shadow prices λ of the network which depend upon congestion in the network. The “deltas vector” can then be used to simplify the valuation of a derivative contract, develop a hedging strategy, evaluate a hedging strategy with respect to congestion, identify a successful bidding strategy at auctions of derivative contracts, and determine an optimal position in a multi-settlement nodal market. Moreover, techniques are also described for evaluating the matrix of Power Transfer Distribution Factors and loss factors (comprising the A matrix) that are needed to estimate the “deltas vector”.

9. 发明授权

US07739173B2 Method for managing risk in markets related to commodities delivered over a network 有权
公开(公告)号：US07739173B2
公开(公告)日：2010-06-15
申请号：US11236600
申请日：2005-09-28
申请人： Fernando L. Alvarado , Rajesh Rajaraman
发明人： Fernando L. Alvarado , Rajesh Rajaraman
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/00 , G06Q40/025 , G06Q40/04
摘要： A system, method, software, and portfolios for managing risk in markets relating to a commodity delivered over a network are described, in which a market participant constructs portfolios of preferably liquid price risk instruments in proportions that eliminate the Spatial Price Risk for the market participant's underlying position. Techniques are also disclosed for constructing and evaluating new price risk instruments and other sets of positions, as well as identifying arbitrage opportunities in those markets.

10. 发明授权

US07634443B2 Method for managing risk in markets related to commodities delivered over a network 有权
公开(公告)号：US07634443B2
公开(公告)日：2009-12-15
申请号：US11898137
申请日：2007-09-10
申请人： Fernando L. Alvarado , Rajesh Rajaraman
发明人： Fernando L. Alvarado , Rajesh Rajaraman
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q30/0206 , G06Q40/025 , G06Q40/04 , G06Q50/06 , G06Q50/22 , Y04S10/54 , Y04S10/58 , Y04S50/14
摘要： A system, method, software, and portfolios for managing risk in markets relating to a commodity delivered over a network are described, in which a market participant constructs portfolios of preferably liquid price risk instruments in proportions that eliminate the Spatial Price Risk for the market participant's underlying position. Techniques are also disclosed for constructing and evaluating new price risk instruments and other sets of positions, as well as identifying arbitrage opportunities in those markets. In particular, a “deltas vector” is calculated concerning a portfolio of future positions and derivative contracts, wherein the “deltas vector” is the partial derivative of the market participant's net market position taken with respect to the forward shadow prices λ of the network which depend upon congestion in the network. The “deltas vector” can then be used to simplify the valuation of a derivative contract, develop a hedging strategy, evaluate a hedging strategy with respect to congestion, identify a successful bidding strategy at auctions of derivative contracts, and determine an optimal position in a multi-settlement nodal market. Moreover, techniques are also described for evaluating the matrix of Power Transfer Distribution Factors and loss factors (comprising the A matrix) that are needed to estimate the “deltas vector”.

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