Method and device for evaluation of financial derivatives using sparse grids
CA 2364920 A1 · Owner: Griebel, Michael · Inventors: Gerstner, Thomas; Wahl, Sebastian; Griebel, Michael
Overview
Its claims, description and drawings are in the Canadian Patents Database.
Open the CIPO recordAbstract From the Canadian patent
A method and device for valuation of financial derivatives wherein a, value of a derivative is computed by a determination of an expectation. Input parameters are communicated by an input unit to a computer such as at least , one, processor, to establish an integrand as a function of the input parameters. A multivariate integration domain is computed. A sparse grid method is used to determine integration points and integration weights as a function of the input, parameters. The integrand is integrated with an integration domain at the integration, points to determine integrand values. One or more expectation parameters are computed by combining the integrand values and the integration …
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Listed from its CIPO record in Patent Yard's archive of Canadian patents past their term. Its claims, description and drawings are in the CIPO record and on Google Patents, and the Claude kit works from them.
Why it's free to use
- Filed December 12, 2001. No grant is recorded for it in Canada; had it been granted, its 20-year term would have ended December 12, 2021.
- A certificate of supplementary protection adds at most two years for a drug, so even that would have ended by December 12, 2023.
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Timeline
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Everything on this page comes from the CIPO record linked above. Contains information licensed under the Open Government Licence – Canada.