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Leslie A Abreo

from Freehold, NJ
Age ~69

Leslie Abreo Phones & Addresses

  • 520 Freehold Rd, Freehold, NJ 07728 (732) 431-3131 (732) 252-6199
  • Brooklyn, NY
  • 199 Warren St, Jersey City, NJ 07302 (201) 324-1349
  • Sunnyside, NY
  • Monmouth, NJ
  • 520 E Freehold Rd, Freehold, NJ 07728 (732) 433-6210

Publications

Us Patents

Hedge Effectiveness Test

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US Patent:
20020032624, Mar 14, 2002
Filed:
May 29, 2001
Appl. No.:
09/866936
Inventors:
Deane Yang - New York NY, US
Andrew Kalotay - Spencertown NY, US
Michael Dorigan - New York NY, US
Leslie Abreo - Jersey City NJ, US
International Classification:
G06F017/60
US Classification:
705/030000
Abstract:
A method and system for determining effectiveness of a hedge on a hedged item is disclosed. The method and system includes determining a standard deviation of changes in value of a hedged item over a known time frame; determining a standard deviation of a combination of the changes in value of the hedged item and changes in value of a hedging vehicle over the known time frame; and, determining a ratio between the determined standard deviations. In another aspect of the invention, a volatility reduction measure is determined as the compliment of the determined ratio and effectiveness is determined when the volatility reduction measure is above a known level.
Leslie A Abreo from Freehold, NJ, age ~69 Get Report