Global Patent Index - EP 0845123 A4

EP 0845123 A4 2001-04-11 - ESTIMATION METHOD AND SYSTEM FOR FINANCIAL SECURITIES TRADING

Title (en)

ESTIMATION METHOD AND SYSTEM FOR FINANCIAL SECURITIES TRADING

Title (de)

SCHÄTZUNGSVERFAHREN UND SYSTEM FÜR FINANZIELLE WERTPAPIERHANDEL

Title (fr)

PROCEDE ET SYSTEME D'ESTIMATION POUR L'ACHAT ET LA VENTE DE VALEURS FINANCIERES

Publication

EP 0845123 A4 (EN)

Application

EP 95928840 A

Priority

  • CA 2229144 A
  • US 9510363 W

Abstract (en)

[origin: WO9707475A1] In setting the initial offering price of a financial instrument for purposes of securities trading, or in later revaluation as economic factors, such as interest rates, may change, an estimate of the value of the instrument may be represented as a multi-dimensional integral. For evaluation of the integral, numerical integration is preferred with the integrand being sampled at deterministic points having a low-discrepancy property. The technique produces approximate values at significant computational savings and with greater reliability as compared with the Monte-Carlo technique (11).

IPC 1-7 (main, further and additional classification)

G06F 17/00; G06F 17/60

IPC 8 full level (invention and additional information)

G06Q 30/06 (2012.01); G06Q 40/00 (2012.01); G06F 17/17 (2006.01)

CPC (invention and additional information)

G06Q 40/02 (2013.01)

Citation (search report)

  • [X] SPASSIMIR H. PASKOV: "Computing High Dimensional Integrals with Applications to Finance", TECHNICAL REPORT CUCS-023-94, - October 1994 (1994-10-01), Department of Computer Science, Columbia University, pages 1 - 44, XP002160320, Retrieved from the Internet <URL:www.cs.columbia.edu/~library/TR-repository/reports/reports-1994/cucs-023-94.ps> [retrieved on 20010214]
  • [X] BRATLEY P ET AL: "Implementation and tests of low-discrepancy sequences", ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION, JULY 1992, USA, vol. 2, no. 3, pages 195 - 213, XP002160321, ISSN: 1049-3301
  • See also references of WO 9707475A1

Designated contracting state (EPC)

AT BE CH DE DK ES FR GB GR IE IT LI LU MC NL PT SE

EPO simple patent family

WO 9707475 A1 19970227; CA 2229144 A1 19970227; CA 2229144 C 20021231; EP 0845123 A1 19980603; EP 0845123 A4 20010411

INPADOC legal status


2002-08-14 [18D] DEEMED TO BE WITHDRAWN

- Effective date: 20020129

2001-08-29 [17Q] FIRST EXAMINATION REPORT

- Effective date: 20010717

2001-04-11 [A4] SUPPLEMENTARY SEARCH REPORT

- Effective date: 20010228

2001-04-11 [AK] DESIGNATED CONTRACTING STATES:

- Kind Code of Ref Document: A4

- Designated State(s): AT BE CH DE DK ES FR GB GR IE IT LI LU MC NL PT SE

2001-04-11 [RIC1] CLASSIFICATION (CORRECTION)

- Free text: 7G 06F 17/00 A, 7G 06F 17/60 B

1998-12-09 [RIN1] INVENTOR (CORRECTION)

- Inventor name: TRAUB, JOSEPH, F.

1998-12-09 [RIN1] INVENTOR (CORRECTION)

- Inventor name: PASKOV, SPASSMIR

1998-12-09 [RIN1] INVENTOR (CORRECTION)

- Inventor name: VANDERHOOF, IRWIN F.

1998-06-03 [17P] REQUEST FOR EXAMINATION FILED

- Effective date: 19980305

1998-06-03 [AK] DESIGNATED CONTRACTING STATES:

- Kind Code of Ref Document: A1

- Designated State(s): AT BE CH DE DK ES FR GB GR IE IT LI LU MC NL PT SE