Other

Algorithmics International Corp.

Vizible.com Inc.

Zerofootprint Software Inc.

Research in Motion Corporation

Goldman Sachs &co. LLC

Algorithmics Software LLC

Ron Samuel Dembo

Anthony Carmen Gallo

Helmut Mausser

Jimmy Talbot

Colin Eric Graham

Peter James Gallagher

Andrew F Phillips

Dan Rosen

Alexander Yacov Kreinin

Atul Pawar

Michael Glenn

Ezra Nahum

Oliver Meyn

Systems and methods for automatically generating scenarios and user interface elements representing valuations of instruments under the scenarios are described. The systems and methods use expert polling systems and machine learning rules to generate tree data storage structures representing different scenarios of macro factors for outcomes of events. Machine implemented interfaces for expert polling, presentment of scenarios, and interaction with scenarios are also provided.

Systems and methods for scenario simulation

Systems and methods for benchmarking collected or computed environmental data for one or more entities. The systems and methods involve determining a distribution for historical environmental data for the entity, collecting current environmental data for the entity, and generating, using the processor, a graphical representation benchmarking the current environmental data against the historical environmental data, wherein the graphical representation comprises the data segments and represents the current environmental data at a position within one of the segments, where the data segments are calculated using the distribution.

System and method for benchmarking environmental data

A system and method for computing emission values. In one aspect, a system and method is described to include an input module operable to receive raw activity data to define a record for an activity; a data provisioning module operable to compute standardized activity data using the raw activity data; a location module operable to compute a location hierarchy for a given location; a factor data module operable to compute factor data for a given location hierarchy and time period; a reference data module operable to compute reference data; and an emission engine operable to compute at least one emission value for the activity based on the optimal emission equation.

Systems and methods for computing emission values

A system and method for valuing a portfolio in terms of its performance relative to a specified benchmark under a range of future scenarios is disclosed. In particular, a portfolio is taken and two values related to the portfolio are calculated: the first value corresponding to an amount by which the value of the portfolio is expected to fall below the value of a benchmark over a given time horizon, and a second value corresponding to an amount by which the value of the portfolio is expected to exceed the value of a benchmark over a given time horizon, in view of the range of different future scenarios. Means for determining the portfolio which optimally trades-off these two values, and to evaluate risk/reward performance measures using these two values which can be used to rank instruments, securities or portfolios are disclosed. Means for pricing portfolio insurance for optimal portfolios are also disclosed.

System and method for trading off upside and downside values of a portfolio

This invention relates to a system and method for valuing a portfolio in terms of its performance relative to a specified benchmark under a range of future scenarios. In particular, the invention takes a portfolio and calculates two values related to the portfolio: the first value corresponding to an amount by which the value of the portfolio is expected to fall below the value of a benchmark over a given time horizon, and a second value corresponding to an amount by which the value of the portfolio is expected to exceed the value of a benchmark over a given time horizon, in view of the range of different future scenarios. The invention provides a means for determining the portfolio which optimally trades-off these two values, and to evaluate risk/reward performance measures using these two values which can be used to rank instruments, securities or portfolios. The invention also provides a means for pricing portfolio insurance for optimal portfolios.

System and method for trading off put and call values of a portfolio

A method and system of providing a three dimensional spatial user interface (SUI) to a user of a computing device. The SUI may be manipulated in three dimensions and contains a plurality of portals. A portal may contain a sensory cue that provides a reminder as to the content of the portal. Upon selection of a portal, an application program associated with the cue in the portal is invoked. Portals may also contain further instances of the SUI of the present invention, thus providing hierarchical depth. In the preferred embodiment, the SUI is implemented as a sphere and may be viewed from an external or internal perspective.

Three dimensional spatial user interface

A computer-implemented method for compressing a portfolio of financial instruments is described. Financial instruments to be compressed are identified, and a compressed subportfolio corresponding to the identified financial instruments is generated. The compressed subportfolio and any non-compressed financial instruments are then combined into a compressed portfolio.

Computer-implemented method and apparatus for portfolio compression

A method and apparatus for determining an optimal replicating portfolio for a given target portfolio involves an initial step wherein a user defines a target portfolio to be replicated, a set of available market instruments from which the replicating portfolio may be created, a set of future scenarios, a horizon date, and a minimum profit to be attained. A representation of the trade-off between risk and expected profit for some arbitrary replicating portfolio is then determined and used to calculate a maximum risk-adjusted profit. The maximum risk-adjusted profit reflects that level of return that may be achieved with an optimum degree of risk; that is, it reflects that point in the risk/reward trade-off where a marginal cost of risk is equivalent to a marginal benefit attainable by assuming that risk. The method then uses the predefined set of available market instruments to identify a set of transactions that will create a replicating portfolio that will achieve the maximum risk-adjusted profit. The method and apparatus also derives the information required to compute a risk premium for pricing of portfolios in incomplete markets, and performs the computation.

Method and apparatus for optimal portfolio replication

A method and apparatus are provided for optimally allocating available resources in a physical system defined by a mathematical model having parameters of uncertain values. The method comprises the steps of firstly assigning a value to each of the uncertain parameters in the mathematical model based on a scenario that may or is expected to occur. Thereafter, given the parameter values at each possible scenario, the mathematical model is solved to yield the best solution of the mathematical model for that scenario. Once this has been complete, a probability value representing the expected probability that the scenario will occur is assigned to each scenario solution. The scenario parameter values, scenario solutions and scenario probabilities are then used to determine a single solution to the mathematical model which best 'fits' the desired system behavior under the uncertainty defined by all of the scenarios considered. The single solution is then used to allocate the resources in the system. The present method is particularly useful in modelling a target portfolio from a number of other financial instruments.

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Ron Samuel Dembo