Patents by Inventor Glen GOODVIN

Glen GOODVIN 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).

  • METHODS AND SYSTEMS FOR ESTIMATING OPTION GREEKS
    Publication number: 20190220929
    Abstract: Methods determine a representation of the option Greek delta ? which expresses a dependence of an expected value V of a financial contract on one or more underlyings of the financial contract/ The method comprises obtaining: a complete set of algorithmic differentiation (AD) sensitivities of the expected value of the financial contract to a set of N input parameters {right arrow over (a)} in a form ? ? ? V = [ ? V ? a 1 , ? V ? a 2 , … ? ? ? V ? a N ] T ; and a complete set of AD sensitivities of the expected value of the one or more underlyings Fj for j=1 . . . M, where M<N and M is a number of the one or more underlyings to the set of N input parameters {right arrow over (a)} in a form ? ? ? F j = [ ? F j ? a 1 , ? F j ? a 2 , … ? ? ? F j ? a N ] T for each j=1 . . . M.
    Type: Application
    Filed: January 17, 2019
    Publication date: July 18, 2019
    Inventors: Russell GOYDER, Mark John GIBBS, Glen GOODVIN