Fernando Luis Alvarado

US Patent:

7567926, Jul 28, 2009

Filed:

Sep 28, 2005

Appl. No.:

11/236669

Inventors:

Fernando L. Alvarado - Madison WI, US
Rajesh Rajaraman - Madison WI, US

Assignee:

Morgan Stanley Dean Witter & Co. - New York NY

International Classification:

G06Q 40/00

US Classification:

705 35

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.

US Patent:

7634441, Dec 15, 2009

Filed:

Sep 10, 2007

Appl. No.:

11/898136

Inventors:

Fernando L. Alvarado - Madison WI, US
Rajesh Rajaraman - Madison WI, US

Assignee:

Morgan Stanley Dean Witter & Co. - New York NY

International Classification:

G06Q 40/00

US Classification:

705 37, 705 8, 705 10, 705 12, 705 36 R, 705 38, 705412, 705 2, 700 99, 709249

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”.

US Patent:

7634442, Dec 15, 2009

Filed:

Apr 9, 2002

Appl. No.:

10/118330

Inventors:

Fernando L. Alvarado - Madison WI, US
Rajesh Rajaraman - Madison WI, US

Assignee:

Morgan Stanley Dean Witter & Co. - New York City NY

International Classification:

G06Q 40/00

US Classification:

705 38, 705 10, 705 12, 705 36 R, 705 37, 705412, 324126

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”.

US Patent:

7634443, Dec 15, 2009

Filed:

Sep 10, 2007

Appl. No.:

11/898137

Inventors:

Fernando L. Alvarado - Madison WI, US
Rajesh Rajaraman - Madison WI, US

Assignee:

Morgan Stanley Dean Witter & Co. - New York City NY

International Classification:

G06Q 40/00

US Classification:

705 38, 705 8, 705 10, 705 12, 705 36 R, 705 37, 705412, 700 99, 709249

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”.

US Patent:

7634449, Dec 15, 2009

Filed:

Sep 10, 2007

Appl. No.:

11/898135

Inventors:

Fernando L. Alvarado - Madison WI, US
Rajesh Rajaraman - Madison WI, US

Assignee:

Morgan Stanley Dean Witter & Co. - New York NY

International Classification:

G06F 17/00

US Classification:

705412, 705 10, 705 36 R, 705 37, 705 38, 700 99, 709249

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”.

US Patent:

7716102, May 11, 2010

Filed:

Mar 10, 2000

Appl. No.:

09/522709

Inventors:

Fernando L. Alvarado - Madison WI, US
Rajesh Rajaraman - Madison WI, US

Assignee:

Morgan Stanley Dean Witter & Co. - New York NY

International Classification:

G06Q 40/00

US Classification:

705 36R

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.

US Patent:

7739173, Jun 15, 2010

Filed:

Sep 28, 2005

Appl. No.:

11/236600

Inventors:

Fernando L. Alvarado - Madison WI, US
Rajesh Rajaraman - Madison WI, US

Assignee:

Morgan Stanley Dean Witter & Co. - New York NY

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 35

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.

US Patent:

62124781, Apr 3, 2001

Filed:

Dec 17, 1997

Appl. No.:

8/992194

Inventors:

Fernando L. Alvarado - Madison WI

Assignee:

Wisconsin Alumni Research Foundation - Madison WI

International Classification:

G06F 1900

US Classification:

702 64

Abstract:

A method of operating an electronic computer for pre-processing a first matrix having an array of coefficients representing linear functions relating measured variables to unmeasured variables of particular physical systems scans the rows of the matrix representations of these equations for rows with large numbers of non-zero coefficients and expands the matrix to reduce the density of those rows resulting in a larger expanded matrix that requires relatively fewer multiplication operations.