US 7,890,418 B2Granted

Hedging risks associated with variable priced orders for derivative financial products

AssigneeChicago Mercantile Exchange Inc.

InventorsJames W. Farrell, Agnes Shanthi Thiruthuvadoss, David Salvadori, Scott Johnston, John Falck, Charlie Troxel, Jr., Arjuna Ariathurai

Life of this patent

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Abstract

Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction.

Claims17

Dependent claims

A method of hedging risks using a variable priced order for a derivative financial product, the method comprising:

receiving at a match system of an exchange a variable priced order for a derivative financial product and associated order risk data, the variable priced order including a variable price and a formula for adjusting the variable price as a function of a change in a price for an underlying product;
(a) identifying a hedge transaction corresponding to the order for the derivative financial product;
(b) comparing the hedge transaction to the order risk data;
and
(c) executing at the exchange the hedge transaction if the order risk data is not exceeded in response to the comparison.

2 more elements

Dependencies are inferred from the claim text.

Facts

Application: 12/688,467Filed 15 Jan 2010 · continuation
Priority: 10 Mar 2003
Published: US 2010/0121787 A113 May 2010
Granted: 15 Feb 2011
Term ends: Not estimatedThe source records don’t support an estimate.

Classification6 codes

G06Q 40/04
Finance; Insurance; Tax strategies; Processing of corporate or income taxes: trading; Exchange, e.g. stocks, commodities, derivatives or currency…
G06Q 40/00
Finance
G06Q 40/03
Finance; Insurance; Tax strategies; Processing of corporate or income taxes: credit; Loans; Processing thereof
G06Q 40/052
Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange: trading or analysing derivatives

Family

Application10/385,152Parent of this continuation-in-part · filed 10 Mar 2003
Application10/611,458Parent of this continuation · filed 1 Jul 2003
US 7,152,041 B2Parent of this continuation-in-part · filed 19 Dec 2006
Application11/953,650Parent of this continuation · filed 10 Dec 2007
US 2010/0121787 A1Pre-grant publication · published 13 May 2010
US 7,672,899 B2Parent of this continuation
US 7,571,133 B2Parent of this continuation
Application10/611,458Parent of this continuation-in-part
US 2004/0199450 A1Published application
US 2004/0199459 A1Published application
US 2008/0091584 A1Published application
US 7,890,418 B2This patent

From the US filing history. Foreign family members aren’t listed.