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US 2004/0172352 A1Published application
Method and system for correlation risk hedging
OwnerCyril Deretzinventor
Life of this patent
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Abstract
Method and system for hedging the risk of correlation between a set of macro-economic variables, wherein at least one contract is built for a given duration and for at least two underlying variables selecting from said set, the payoff of the contract increasing with the correlation between the two variables and being lowly sensitive to the volatility level of the two variables.
Claims20
A method for correlation risk hedging comprising:
- selecting at least two underlying assets;
- and
- providing a product having a payoff value wherein the payoff value is a function of the similarity of the behavior of the intermediate performances of the at least two underlying assets, each intermediate performance being related to the time period between two successive intermediate dates.
A system for correlation risk hedging comprising:
- a computer processing unit;
- memory device couple to said computer processing unit;
- and
- computer-readable instructions stored in said memory, said computer-readable instructions capable of carrying out the functions of:
- selecting at least two underlying assets;
- and
- determining a payoff value for a product wherein the payoff value is a function of the similarity of the behavior of the intermediate performances of the at least two underlying assets, each intermediate performance being related to the time period between two successive intermediate dates.
4 more elements
A product for correlation risk hedging comprising:
- a price wherein the price is a function of an implied correlation of at least two assets;
- and
- an expiry date wherein the expiry date has a term that is the same term as a term of the implied correlation.
Dependencies are inferred from the claim text.