Patents by Inventor Sid Browne

Sid Browne 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).

  • Publication number: 20120323819
    Abstract: A method and system for simulating changes in volatility for a price of a particular option on an underlying financial instrument is disclosed. A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which, when used in the surface model, defines a surface approximating the set of volatilities. The values of the surface parameters are then evolved using an appropriate evolution function. A volatility value for a particular option is extracted from the volatility surface defined by the evolved surface parameter values. The extracted volatility value can then be used in an option pricing model to provide a price of the particular option.
    Type: Application
    Filed: August 24, 2012
    Publication date: December 20, 2012
    Applicant: Goldman, Sachs & Co.
    Inventors: Sid Browne, Arthur Maghakian
  • Patent number: 8255310
    Abstract: A method and system for simulating changes in volatility for a price of a particular option on an underlying financial instrument is disclosed. A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which, when used in the surface model, defines a surface approximating the set of volatilities. The values of the surface parameters are then evolved using an appropriate evolution function. A volatility value for a particular option is extracted from the volatility surface defined by the evolved surface parameter values. The extracted volatility value can then be used in an option pricing model to provide a price of the particular option.
    Type: Grant
    Filed: February 15, 2011
    Date of Patent: August 28, 2012
    Assignee: Goldman, Sachs & Co.
    Inventors: Sid Browne, Arthur Maghakian
  • Publication number: 20120016810
    Abstract: A method and system for simulating changes in volatility for a price of a particular option on an underlying financial instrument is disclosed. A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which, when used in the surface model, defines a surface approximating the set of volatilities. The values of the surface parameters are then evolved using an appropriate evolution function. A volatility value for a particular option is extracted from the volatility surface defined by the evolved surface parameter values. The extracted volatility value can then be used in an option pricing model to provide a price of the particular option.
    Type: Application
    Filed: February 15, 2011
    Publication date: January 19, 2012
    Inventors: Sid Browne, Arthur Maghakian
  • Publication number: 20110173137
    Abstract: A method and system for simulating changes in volatility for a price of a particular option on an underlying financial instrument is disclosed. A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which, when used in the surface model, defines a surface approximating the set of volatilities under normal market conditions. The values of the surface parameters are then evolved using an appropriate evolution function. Prior to applying the surface parameters to the model, the parameter values can be adjusted to introduce changes in offset, skew, term, or other parameters of the volatility surface to allow for simulation of unusual market conditions. A volatility value for a particular option is extracted from the volatility surface defined by the evolved and stress-adjusted surface parameter values.
    Type: Application
    Filed: March 22, 2011
    Publication date: July 14, 2011
    Inventors: Sid Browne, Arthur Maghakian
  • Patent number: 7937313
    Abstract: A method and system for simulating changes in volatility for a price of a particular option on an underlying financial instrument is disclosed. A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which, when used in the surface model, defines a surface approximating the set of volatilities under normal market conditions. The values of the surface parameters are then evolved using an appropriate evolution function. Prior to applying the surface parameters to the model, the parameter values can be adjusted to introduce changes in offset, skew, term, or other parameters of the volatility surface to allow for simulation of unusual market conditions. A volatility value for a particular option is extracted from the volatility surface defined by the evolved and stress-adjusted surface parameter values.
    Type: Grant
    Filed: May 31, 2002
    Date of Patent: May 3, 2011
    Assignee: Goldman Sachs & Co.
    Inventors: Sid Browne, Arthur Maghakian
  • Patent number: 7917419
    Abstract: A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which in the surface model defines a surface approximating the set of volatilities. The values of the surface parameters are evolved using an appropriate evolution function and a volatility value for a particular option is extracted from the volatility surface. The extracted volatility value can be used in an option pricing model to provide a price of the particular option. The volatility of a basket options valued relative to the performance of multiple components can be simulated by determining the value of surface parameters for options on the component securities and combining the component surface parameters to determine surface parameters for a volatility surface of the basket.
    Type: Grant
    Filed: September 12, 2008
    Date of Patent: March 29, 2011
    Assignee: Goldman Sachs & Co.
    Inventors: Sid Browne, Arthur Maghakian
  • Publication number: 20100287119
    Abstract: An improved method for simulating noise-varying risk factor values in a parametric simulation comprises analyzing historical data to determine the actual value of the risk factors and other attributes in the model and using this data to generate historical residual values which reproduces the historical price when used in the model with corresponding historical attribute values. The set of historical residual values is standardized and can be bootstrapped to increase the number of members in the set or vary the sets properties. Values of the historical residuals are then selected, e.g., at random, and used in place of the random noise components to produce simulated risk factor values which are used in the parametric model to simulate the evolution of the instrument price.
    Type: Application
    Filed: July 6, 2010
    Publication date: November 11, 2010
    Inventors: Sid Browne, Arthur Maghakian
  • Patent number: 7783551
    Abstract: An improved method for simulating noise-varying risk factor values in a parametric simulation comprises analyzing historical data to determine the actual value of the risk factors and other attributes in the model and using this data to generate historical residual values which reproduces the historical price when used in the model with corresponding historical attribute values. The set of historical residual values is standardized and can be bootstrapped to increase the number of members in the set or vary the sets properties. Values of the historical residuals are then selected, e.g., at random, and used in place of the random noise components to produce simulated risk factor values which are used in the parametric model to simulate the evolution of the instrument price.
    Type: Grant
    Filed: April 25, 2007
    Date of Patent: August 24, 2010
    Assignee: Goldman Sachs & Co.
    Inventors: Sid Browne, Arthur Maghakian
  • Patent number: 7761360
    Abstract: A method and system for simulating changes in volatility for a price of a particular option on an underlying financial instrument is disclosed. A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which, when used in the surface model, defines a surface approximating the set of volatilities. The values of the surface parameters are then evolved using an appropriate evolution function. A volatility value for a particular option is extracted from the volatility surface defined by the evolved surface parameter values. The extracted volatility value can then be used in an option pricing model to provide a price of the particular option.
    Type: Grant
    Filed: November 8, 2006
    Date of Patent: July 20, 2010
    Assignee: Goldman Sachs & Co.
    Inventors: Sid Browne, Arthur Maghakian
  • Publication number: 20090012912
    Abstract: A method and system for simulating changes in volatility for a price of a particular option on an underlying financial instrument is disclosed. A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which, when used in the surface model, defines a surface approximating the set of volatilities. The values of the surface parameters are then evolved using an appropriate evolution function. A volatility value for a particular option is extracted from the volatility surface defined by the evolved surface parameter values. The extracted volatility value can then be used in an option pricing model to provide a price of the particular option.
    Type: Application
    Filed: September 12, 2008
    Publication date: January 8, 2009
    Inventors: Sid Browne, Arthur Maghakian
  • Patent number: 7440916
    Abstract: A method and system for simulating volatility for basket options is disclosed. A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which, when used in the surface model, defines a surface approximating the set of volatilities. The values of the surface parameters are then evolved, and a volatility value is extracted from the volatility surface defined by the evolved surface parameter values. The volatility of basket options valued relative to the performance of multiple components can be simulated by determining the value of surface parameters for options on the component securities and then combining the component surface parameters to determine surface parameters for a volatility surface of the basket.
    Type: Grant
    Filed: May 31, 2002
    Date of Patent: October 21, 2008
    Assignee: Goldman Sachs & Co.
    Inventors: Sid Browne, Arthur Maghakian
  • Patent number: 7228290
    Abstract: An improved method for simulating noise-varying risk factor values in a parametric simulation comprises analyzing historical data to determine the actual value of the risk factors and other attributes in the model and using this data to generate historical residual values which reproduces the historical price when used in the model with corresponding historical attribute values. The set of historical residual values is standardized and can be bootstrapped to increase the number of members in the set or vary the sets properties. Values of the historical residuals are then selected, e.g., at random, and used in place of the random noise components to produce simulated risk factor values which are used in the parametric model to simulate the evolution of the instrument price.
    Type: Grant
    Filed: June 29, 2001
    Date of Patent: June 5, 2007
    Assignee: Goldman Sachs & Co.
    Inventors: Sid Browne, Arthur Maghakian
  • Patent number: 7149715
    Abstract: A method and system for simulating changes in volatility for a price of a particular option on an underlying financial instrument is disclosed. A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which, when used in the surface model, defines a surface approximating the set of volatilities. The values of the surface parameters are then evolved using an appropriate evolution function. A volatility value for a particular option is extracted from the volatility surface defined by the evolved surface parameter values. The extracted volatility value can then be used in an option pricing model to provide a price of the particular option.
    Type: Grant
    Filed: June 29, 2001
    Date of Patent: December 12, 2006
    Assignee: Goldman Sachs & Co.
    Inventors: Sid Browne, Arthur Maghakian
  • Publication number: 20030074167
    Abstract: A method and system for simulating changes in volatility for a price of a particular option on an underlying financial instrument is disclosed. A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which, when used in the surface model, defines a surface approximating the set of volatilities. The values of the surface parameters are then evolved using an appropriate evolution function. A volatility value for a particular option is extracted from the volatility surface defined by the evolved surface parameter values. The extracted volatility value can then be used in an option pricing model to provide a price of the particular option.
    Type: Application
    Filed: May 31, 2002
    Publication date: April 17, 2003
    Inventors: Sid Browne, Arthur Maghakian
  • Publication number: 20030018456
    Abstract: A method and system for simulating changes in volatility for a price of a particular option on an underlying financial instrument is disclosed. A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which, when used in the surface model, defines a surface approximating the set of volatilities under normal market conditions. The values of the surface parameters are then evolved using an appropriate evolution function. Prior to applying the surface parameters to the model, the parameter values can be adjusted to introduce changes in offset, skew, term, or other parameters of the volatility surface to allow for simulation of unusual market conditions. A volatility value for a particular option is extracted from the volatility surface defined by the evolved and stress-adjusted surface parameter values.
    Type: Application
    Filed: May 31, 2002
    Publication date: January 23, 2003
    Inventors: Sid Browne, Arthur Maghakian
  • Publication number: 20030014355
    Abstract: A method and system for simulating changes in volatility for a price of a particular option on an underlying financial instrument is disclosed. A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which, when used in the surface model, defines a surface approximating the set of volatilities. The values of the surface parameters are then evolved using an appropriate evolution function. A volatility value for a particular option is extracted from the volatility surface defined by the evolved surface parameter values. The extracted volatility value can then be used in an option pricing model to provide a price of the particular option.
    Type: Application
    Filed: June 29, 2001
    Publication date: January 16, 2003
    Inventors: Sid Browne, Arthur Maghakian
  • Publication number: 20030014356
    Abstract: An improved method for simulating noise-varying risk factor values in a parametric simulation comprises analyzing historical data to determine the actual value of the risk factors and other attributes in the model and using this data to generate historical residual values which reproduces the historical price when used in the model with corresponding historical attribute values. The set of historical residual values is standardized and can be bootstrapped to increase the number of members in the set or vary the sets properties. Values of the historical residuals are then selected, e.g., at random, and used in place of the random noise components to produce simulated risk factor values which are used in the parametric model to simulate the evolution of the instrument price.
    Type: Application
    Filed: June 29, 2001
    Publication date: January 16, 2003
    Inventors: Sid Browne, Arthur Maghakian