Patents by Inventor Ronald Stuart Levin

Ronald Stuart Levin 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).

  • Method and System for Modeling Volatility
    Publication number: 20090216673
    Abstract: A method for determining the implied volatility of a swap option employs intuitive factors to arrive at a close approximation of volatility. The volatility curve is a convex shaped curve which more closely follows real market volatility than previous methods. The slope of the curve is provided by employing a premium model which allows for a correlation between rates and volatility. The convex shaped curve is arrived by assuming a lognormal distribution for the underlying volatility.
    Type: Application
    Filed: May 7, 2009
    Publication date: August 27, 2009
    Inventors: Martin R. Watts, Luke Halestrap, Lionnel Pradier, Julia Chislenko, Pawel M. Lewicki, Ronald Stuart Levin