JOSEPH LEVIN
Engineering in Northbrook, IL
License number
Massachusetts 35864
Issued Date
Mar 27, 1991
Expiration Date
Jun 30, 2002
Type
Heating and Ventilation Engineer
Address
Address
Northbrook, IL 60062
Professional information
Volatility Index And Derivative Contracts Based Thereon
US Patent:
2013024, Sep 19, 2013
Filed:
Sep 14, 2012
Appl. No.:
13/618704
Inventors:
William Speth - Evanston IL, US
Joseph Levin - Northbrook IL, US
Sandy Rattray - London, GB
Devesh Shah - New York NY, US
Joseph Levin - Northbrook IL, US
Sandy Rattray - London, GB
Devesh Shah - New York NY, US
International Classification:
G06Q 40/06
US Classification:
705 36 R
Abstract:
An improved volatility index and related futures contracts are provided. An index in accordance with the principals of the present invention estimates expected volatility from the prices of stock index options in a wide range of strike prices, not just at-the-money strikes. Also, an index in accordance with the principals of the present invention is not calculated from the Black/Scholes or any other option pricing model: the index of the present invention uses a newly developed formula to derive expected volatility by averaging the weighted prices of out-of-the money put and call options. In accordance with another aspect of the present invention, derivative contracts such as futures and options based on the volatility index of the present invention are provided.
Volatility Index And Derivative Contracts Based Thereon
US Patent:
2010025, Oct 7, 2010
Filed:
Dec 7, 2009
Appl. No.:
12/632560
Inventors:
William Speth - Evanston IL, US
Joseph Levin - Northbrook IL, US
Sandy Rattray - London, GB
Devesh Shah - New York NY, US
Joseph Levin - Northbrook IL, US
Sandy Rattray - London, GB
Devesh Shah - New York NY, US
International Classification:
G06Q 40/00
US Classification:
705 36 R
Abstract:
An improved volatility index and related futures contracts are provided. An index in accordance with the principals of the present invention estimates expected volatility from the prices of stock index options in a wide range of strike prices, not just at-the-money strikes. Also, an index in accordance with the principals of the present invention is not calculated from the Black/Scholes or any other option pricing model: the index of the present invention uses a newly developed formula to derive expected volatility by averaging the weighted prices of out-of-the money put and call options. In accordance with another aspect of the present invention, derivative contracts such as futures and options based on the volatility index of the present invention are provided.
Volatility Index And Derivative Contracts Based Thereon
US Patent:
2005010, May 12, 2005
Filed:
Oct 6, 2004
Appl. No.:
10/959528
Inventors:
William Speth - Evanston IL, US
Joseph Levin - Northbrook IL, US
Sandy Rattray - London, GB
Devesh Shah - New York NY, US
Joseph Levin - Northbrook IL, US
Sandy Rattray - London, GB
Devesh Shah - New York NY, US
International Classification:
G06F017/60
US Classification:
705036000, 705035000
Abstract:
An improved volatility index and related futures contracts are provided. An index in accordance with the principals of the present invention estimates expected volatility from the prices of stock index options in a wide range of strike prices, not just at-the-money strikes. Also, an index in accordance with the principals of the present invention is not calculated from the Black/Scholes or any other option pricing model: the index of the present invention uses a newly developed formula to derive expected volatility by averaging the weighted prices of out-of-the money put and call options. In accordance with another aspect of the present invention, derivative contracts such as futures and options based on the volatility index of the present invention are provided.