Patent ID: 7552076
Filing Date: 2009-06-23
Classification: G06Q

Abstract:
1. A price and risk evaluation system for evaluating a price distribution or a risk distribution for a financial product or its derivatives, comprising: an initial value setter configured to input at least one of initial values of a price, a price change rate, and a price change direction for a financial product or its derivatives; an evaluation condition setter configured to input evaluation conditions including at least time steps and a number of trials; a Boltzmann model analyzer configured to repeat simulation of price fluctuation based on a Boltzmann model using a Monte Carlo method to obtain a price distribution or a risk distribution; a velocity/direction distribution setter configured to input probability distributions of the price, the price change rate, and the price change direction for the financial product or its derivatives into the Boltzmann model analyzer; a random number generator configured to provide a series of random numbers used in the Boltzmann model analyzer; and an output unit configured to output analysis results of the Boltzmann model analyzer, wherein the Boltzmann model analyzer includes a sampling unit, a price-fluctuation simulation unit, and a probability density calculation unit, and the Boltzmann model analyzer, after receiving at least one of initial values of the price, the price change rate, and the price change direction for the financial product or its derivatives from the initial value setter, a sampling width from the sampling unit, at least necessitated one of probability-distributions of a price, a price change rate and a price change direction from the velocity/direction distribution setter, and the random number from the random number generator, repeats by the price-fluctuation simulation unit to simulate a price immediately after the sampling width, a price change rate immediately after the sampling width or a price change direction immediately after the sampling width from a price immediately before the sampling width, a price change rate immediately before the sampling width or a price change direction immediately before the sampling width based on the Boltzmann model using the Monte Carlo method within the range of the evaluation condition set by the evaluation condition setter, and integrates prices immediately after the sampling width, price change rates immediately after the sampling width or price change directions immediately after the sampling width to obtain a probability density by the probability density calculation unit.