Patents by Inventor Miloje S. Makivic

Miloje S. Makivic 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: 7349878
    Abstract: A Monte Carlo system and method are presented for the pricing of financial instruments such as derivative securities and for assisting a user in making an investment decision using the output of the system and method. A path-integral approach is described that relies upon the probability distribution of the complete histories of an underlying security. A Metropolis algorithm is used to generate samples of a probability distribution of the paths (histories) of the security. Complete information on the derivative security is obtained in a single simulation, including parameter sensitivities. Multiple values of parameters are also obtained in a single simulation. The method is applied in a plurality of systems, including a parallel computing environment and an online real-time valuation service. The method and system also have the capability of evaluation American options using Monte Carlo methods.
    Type: Grant
    Filed: May 9, 2000
    Date of Patent: March 25, 2008
    Assignee: Options Technology Company, Inc.
    Inventor: Miloje S. Makivic
  • Patent number: 6061662
    Abstract: A Monte Carlo system and method are presented for the pricing of financial instruments such as derivative securities. A path-integral approach is described that relies upon the probability distribution of the complete histories of an underlying security. A Metropolis algorithm is used to generate samples of a probability distribution of the paths (histories) of the security. Complete information on the derivative security is obtained in a single simulation, including parameter sensitivities. Multiple values of parameters are also obtained in a single simulation. The method is applied in a plurality of systems, including a parallel computing environment and an online real-time valuation service. The method and system also have the capability of evaluating American options using Monte Carlo methods.
    Type: Grant
    Filed: August 15, 1997
    Date of Patent: May 9, 2000
    Assignee: Options Technology Company, Inc.
    Inventor: Miloje S. Makivic