Patents by Inventor Karen L. Chang

Karen L. Chang has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).

  • System for providing a correlation index
    Patent number: 8606682
    Abstract: A system includes a memory and a processor communicatively coupled to the memory. The memory stores a correlation index that is based at least in part on a portfolio of index options, a plurality of stock options, and a plurality of deltas computed using a plurality of constant flat implied volatilities. The processor determines a value of the correlation index by selecting a plurality of strike prices for each of the index and stock options, computing a constant flat implied volatility for an index and a plurality of stocks on a first date, and computing the plurality of deltas using the plurality of constant flat implied volatilities.
    Type: Grant
    Filed: November 30, 2012
    Date of Patent: December 10, 2013
    Assignee: Bank of America Corporation
    Inventors: Karen L. Chang, Peter J. Williams, Yonathan Epelbaum, Vincent Ronsil, Michael Ebert, Edward Mok, Chiyan Luo