Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2002-04-09
2009-12-15
Trammell, James P (Department: 3694)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S014270, C705S012000, C705S03600T, C705S037000, C705S412000, C324S126000
Reexamination Certificate
active
07634442
ABSTRACT:
A system, method, software, and portfolios for managing risk in markets relating to a commodity delivered over a network are described, in which a market participant constructs portfolios of preferably liquid price risk instruments in proportions that eliminate the Spatial Price Risk for the market participant's underlying position. Techniques are also disclosed for constructing and evaluating new price risk instruments and other sets of positions, as well as identifying arbitrage opportunities in those markets. In particular, a “deltas vector” is calculated concerning a portfolio of future positions and derivative contracts, wherein the “deltas vector” is the partial derivative of the market participant's net market position taken with respect to the forward shadow prices λ of the network which depend upon congestion in the network. The “deltas vector” can then be used to simplify the valuation of a derivative contract, develop a hedging strategy, evaluate a hedging strategy with respect to congestion, identify a successful bidding strategy at auctions of derivative contracts, and determine an optimal position in a multi-settlement nodal market. Moreover, techniques are also described for evaluating the matrix of Power Transfer Distribution Factors and loss factors (comprising the A matrix) that are needed to estimate the “deltas vector”.
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Alvarado Fernando L.
Rajaraman Rajesh
Malhotra Sanjeev
McDermott Will & Emery LLP
Morgan Stanley Dean Witter & Co.
Trammell James P
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