Patents by Inventor Irwin F. Vanderhoof

Irwin F. Vanderhoof 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).

  • Portfolio structuring using low-discrepancy deterministic sequences
    Patent number: 6058377
    Abstract: In securities valuation, in setting the initial offering price of a financial instrument, or in later revaluation as financial parameters such as interest rates may change, an estimate of the value of the instrument may be represented as a multi-dimensional integral. For evaluation of the integral, numerical integration is preferred with the integrand being sampled at deterministic points having a low-discrepancy property. The technique produces approximate values at significant computational savings and with greater reliability as compared with the Monte Carlo technique. Further to estimating the value of a complex security, sampling at points of a low-discrepancy deterministic sequence can be used in estimating value at risk in portfolio structuring.
    Type: Grant
    Filed: February 9, 1998
    Date of Patent: May 2, 2000
    Assignee: The Trustees of Columbia University in the City of New York
    Inventors: Joseph F. Traub, Spassimir Paskov, Irwin F. Vanderhoof, Anargyros Papageorgiou
  • Estimation method and system for complex securities using low-discrepancy deterministic sequences
    Patent number: 5940810
    Abstract: In securities trading, in setting the initial offering price of a financial instrument, or in later revaluation as financial parameters such as interest rates may change, an estimate of the value of the instrument may be represented as a multi-dimensional integral. For evaluation of the integral, numerical integration is preferred with the integrand being sampled at deterministic points having a low-discrepancy property. The technique produces approximate values at significant computational savings and with greater reliability as compared with the Monte Carlo technique.
    Type: Grant
    Filed: July 30, 1997
    Date of Patent: August 17, 1999
    Assignee: The Trustees of Columbia University in the City of New York
    Inventors: Joseph F. Traub, Spassimir Paskov, Irwin F. Vanderhoof