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Machine translation
1. (WO2009131751) SCANNING BASED SPREADS USING A HEDGE RATIO NON-LINEAR OPTIMIZATION MODEL
Latest bibliographic data on file with the International Bureau   

Pub. No.:    WO/2009/131751    International Application No.:    PCT/US2009/035980
Publication Date: 29.10.2009 International Filing Date: 04.03.2009
IPC:
G06Q 40/00 (2006.01)
Applicants: CHICAGO MERCANTILE EXCHANGE, INC. [US/US]; 20 South Wacker Drive Chicago, IL 60606-7499 (US) (For All Designated States Except US).
HADI, Muhammed [IQ/US]; (US) (For US Only).
STEPHEN, Amy [US/US]; (US) (For US Only).
PATEL, Ketan [US/US]; (US) (For US Only).
GLINBERG, Dmitriy [US/US]; (US) (For US Only)
Inventors: HADI, Muhammed; (US).
STEPHEN, Amy; (US).
PATEL, Ketan; (US).
GLINBERG, Dmitriy; (US)
Agent: KATZ, James, L.; (US)
Priority Data:
12/056,465 27.03.2008 US
Title (EN) SCANNING BASED SPREADS USING A HEDGE RATIO NON-LINEAR OPTIMIZATION MODEL
(FR) ECARTS BASÉS SUR L’ANALYSE UTILISANT UN MODÈLE D’OPTIMISATION NON LINÉAIRE DES RATIOS DE COUVERTURE
Abstract: front page image
(EN)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.
(FR)Les modes de réalisation de l’invention se servent des ratios de couverture pour déterminer le ratio de couverture optimal ainsi que l’écart d’analyse associé. Ainsi, les opérateurs en bourse peuvent savoir quels ratios respecter dans les quantités de produits qu’ils ont dans leur portefeuille pour que leur portefeuille reste delta neutre, autrement dit couvert en delta neutre, et donc recevoir les meilleures primes sur marge possibles.
Designated States: AE, AG, AL, AM, AO, AT, AU, AZ, BA, BB, BG, BH, BR, BW, BY, BZ, CA, CH, CN, CO, CR, CU, CZ, DE, DK, DM, DO, DZ, EC, EE, EG, ES, FI, GB, GD, GE, GH, GM, GT, HN, HR, HU, ID, IL, IN, IS, JP, KE, KG, KM, KN, KP, KR, KZ, LA, LC, LK, LR, LS, LT, LU, LY, MA, MD, ME, MG, MK, MN, MW, MX, MY, MZ, NA, NG, NI, NO, NZ, OM, PG, PH, PL, PT, RO, RS, RU, SC, SD, SE, SG, SK, SL, SM, ST, SV, SY, TJ, TM, TN, TR, TT, TZ, UA, UG, US, UZ, VC, VN, ZA, ZM, ZW.
African Regional Intellectual Property Organization (BW, GH, GM, KE, LS, MW, MZ, NA, SD, SL, SZ, TZ, UG, ZM, ZW)
Eurasian Patent Organization (AM, AZ, BY, KG, KZ, MD, RU, TJ, TM)
European Patent Office (AT, BE, BG, CH, CY, CZ, DE, DK, EE, ES, FI, FR, GB, GR, HR, HU, IE, IS, IT, LT, LU, LV, MC, MK, MT, NL, NO, PL, PT, RO, SE, SI, SK, TR)
African Intellectual Property Organization (BF, BJ, CF, CG, CI, CM, GA, GN, GQ, GW, ML, MR, NE, SN, TD, TG).
Publication Language: English (EN)
Filing Language: English (EN)