WO2009131751A3 - Scanning based spreads using a hedge ratio non-linear optimization model - Google Patents

Scanning based spreads using a hedge ratio non-linear optimization model Download PDF

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Publication number
WO2009131751A3
WO2009131751A3 PCT/US2009/035980 US2009035980W WO2009131751A3 WO 2009131751 A3 WO2009131751 A3 WO 2009131751A3 US 2009035980 W US2009035980 W US 2009035980W WO 2009131751 A3 WO2009131751 A3 WO 2009131751A3
Authority
WO
WIPO (PCT)
Prior art keywords
optimization model
linear optimization
scanning based
hedge ratio
ratio non
Prior art date
Application number
PCT/US2009/035980
Other languages
French (fr)
Other versions
WO2009131751A2 (en
Inventor
Muhammed Hadi
Amy Stephen
Ketan Patel
Dmitriy Glinberg
Original Assignee
Chicago Mercantile Exchange, Inc.
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Chicago Mercantile Exchange, Inc. filed Critical Chicago Mercantile Exchange, Inc.
Priority to CA 2718554 priority Critical patent/CA2718554A1/en
Priority to AU2009238561A priority patent/AU2009238561B2/en
Publication of WO2009131751A2 publication Critical patent/WO2009131751A2/en
Publication of WO2009131751A3 publication Critical patent/WO2009131751A3/en

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

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.
PCT/US2009/035980 2008-03-27 2009-03-04 Scanning based spreads using a hedge ratio non-linear optimization model WO2009131751A2 (en)

Priority Applications (2)

Application Number Priority Date Filing Date Title
CA 2718554 CA2718554A1 (en) 2008-03-27 2009-03-04 Scanning based spreads using a hedge ratio non-linear optimization model
AU2009238561A AU2009238561B2 (en) 2008-03-27 2009-03-04 Scanning based spreads using a hedge ratio non-linear optimization model

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
US12/056,465 US7991671B2 (en) 2008-03-27 2008-03-27 Scanning based spreads using a hedge ratio non-linear optimization model
US12/056,465 2008-03-27

Publications (2)

Publication Number Publication Date
WO2009131751A2 WO2009131751A2 (en) 2009-10-29
WO2009131751A3 true WO2009131751A3 (en) 2009-12-30

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Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2009/035980 WO2009131751A2 (en) 2008-03-27 2009-03-04 Scanning based spreads using a hedge ratio non-linear optimization model

Country Status (4)

Country Link
US (4) US7991671B2 (en)
AU (1) AU2009238561B2 (en)
CA (1) CA2718554A1 (en)
WO (1) WO2009131751A2 (en)

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Also Published As

Publication number Publication date
US20090248588A1 (en) 2009-10-01
WO2009131751A2 (en) 2009-10-29
US8224730B2 (en) 2012-07-17
US7991671B2 (en) 2011-08-02
US20120259798A1 (en) 2012-10-11
US20110246394A1 (en) 2011-10-06
AU2009238561B2 (en) 2015-05-14
AU2009238561A1 (en) 2009-10-29
US8600864B2 (en) 2013-12-03
CA2718554A1 (en) 2009-10-29
US20140067721A1 (en) 2014-03-06

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