Patents by Inventor Jonathan Z. Song

Jonathan Z. Song 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).

  • Patent number: 7853519
    Abstract: There are provided new structural default models for modeling the likely default of publicly traded companies. In a first embodiment, the invention is straight-forward to implement and allows the capture of some important ingredients of the actual default, including positive short-term CDSs. In a second embodiment them model is somewhat more versatile and complex. Provided is a very efficient method for dealing with the timing of a default boundary, that is, jumps in the company's value, etc. Further provided is a process using Fast Fourier Transform matrix processing for processing the structural default models in a computationally efficient manner.
    Type: Grant
    Filed: October 5, 2006
    Date of Patent: December 14, 2010
    Assignee: Credit Suisse Securities (USA) LLC
    Inventors: Alexander Lipton, Jonathan Z. Song, Shinghoi Lee
  • Patent number: 7236951
    Abstract: There are provided new structural default models for modeling the likely default of publicly traded companies. In a first embodiment, the invention is straight-forward to implement and allows the capture of some important ingredients of the actual default, including positive short-term CDSs. In a second embodiment the model is somewhat more versatile and complex. Provided is a very efficient method for dealing with the timing of a default boundary, that is, jumps in the company's value, etc. Further provided is a process using Fast Fourier Transform matrix processing for processing the structural default models in a computationally efficient manner.
    Type: Grant
    Filed: March 8, 2004
    Date of Patent: June 26, 2007
    Assignee: Credit Suisse First Boston LLC
    Inventors: Alexander Lipton, Jonathan Z. Song, Shinghoi Lee