Patents by Inventor Andrei Goloubentsev

Andrei Goloubentsev 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).

  • Blending Methodology for Settling Swaption Volatility Cube and Prices
    Publication number: 20140379550
    Abstract: Systems and methods are provided for determining volatility levels for swaptions. End of day volatility data from swaption dealers. The data may be blended to obtain averaged data and then a modified SABR model may be used to fit a smile to the data points. The modified SABR model models density instead of implied volatility.
    Type: Application
    Filed: June 20, 2014
    Publication date: December 25, 2014
    Inventors: Jingbin Yin, Andrei Goloubentsev