JULIA CHISLENKO, LCSW, PHD
Social Work at 80 St, New York, NY
License number
New York 085809
Category
Social Work
Type
Clinical
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Address
111 E 80Th St SUITE 1D, New York, NY 10075
Phone
(347) 570-0205
Personal information
See more information about JULIA CHISLENKO at radaris.comName
Address
Phone
169 E 69Th St Ph A, New York, NY 10021
New York, NY
Brooklyn, NY
1646 2Nd Ave, New York, NY 10028
182 95Th St, New York, NY 10025
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See more information about JULIA CHISLENKO at trustoria.com
Method And System For Modeling Volatility
Method And System For Modeling Volatility
US Patent:
7958044, Jun 7, 2011
Filed:
May 5, 2010
Appl. No.:
12/774208
Inventors:
Martin R. Watts - Surrey, GB
Luke Halestrap - London, GB
Lionnel Pradier - London, GB
Julia Chislenko - New York NY, US
Pawel M. Lewicki - Summit NJ, US
Ronald Levin - Jerusalem, IL
Luke Halestrap - London, GB
Lionnel Pradier - London, GB
Julia Chislenko - New York NY, US
Pawel M. Lewicki - Summit NJ, US
Ronald Levin - Jerusalem, IL
Assignee:
JPMorgan Chase Bank, N.A. - New York NY
International Classification:
G06Q 40/00
US Classification:
705 37, 705 35
Abstract:
A method for determining the implied volatility of a swap option employs intuitive factors to arrive at a close approximate of volatility. The volatility curve is a convex shaped curve which more closely follows real market volatility than previous methods. The slope of the curve is provided by employing a premium model which allows for a correlation between rates and volatility. The convex shaped curve is arrived by assuming a lognormal distribution for the underlying volatility.
Method And System For Modeling Volatility
Method And System For Modeling Volatility
US Patent:
2009021, Aug 27, 2009
Filed:
May 7, 2009
Appl. No.:
12/437070
Inventors:
Martin R. Watts - Surrey, GB
Luke Halestrap - London, GB
Lionnel Pradier - London, GB
Julia Chislenko - New York NY, US
Pawel M. Lewicki - Summit NJ, US
Ronald Stuart Levin - Jerusalm, IL
Luke Halestrap - London, GB
Lionnel Pradier - London, GB
Julia Chislenko - New York NY, US
Pawel M. Lewicki - Summit NJ, US
Ronald Stuart Levin - Jerusalm, IL
International Classification:
G06Q 40/00, G06Q 10/00, G06N 5/02
US Classification:
705 35, 705400, 706 52
Abstract:
A method for determining the implied volatility of a swap option employs intuitive factors to arrive at a close approximation of volatility. The volatility curve is a convex shaped curve which more closely follows real market volatility than previous methods. The slope of the curve is provided by employing a premium model which allows for a correlation between rates and volatility. The convex shaped curve is arrived by assuming a lognormal distribution for the underlying volatility.