System and methods for modeling a multiplicative index
US8255302B2 · kind B2 · utility
1Cited by
9References
30Claims
0Family size
Assignee
Inventor
Key dates
| Filing date | Apr 10, 2008 |
| Grant date | Aug 28, 2012 |
| Priority date | — |
| Expiry date | Feb 17, 2030 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/10
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
Computer-implemented methods for valuing a derivative based on the BMA rate: the methods may comprise generating a model of the BMA/LIBOR ratio as a function of the LIBOR index, a stochastic noise function, and a seasonality process. The methods may also comprise solving the model for at least one value of the LIBOR index, and estimating a value of the derivative given the solution of the model. The value of the derivative may then be stored.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.