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Ahmos Sansom


Last seen: 2 months 前 |  自 2009 起处于活动状态

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PhD in Applied mathematics from the University of Nottingham. Work in the Energy industry

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Monte Carlo of Multi-Factor coupled Commodity Forwards
Implementation of the Multi-Factor multi commodity forward curve simulator

2 months 前 | 4 次下载 |

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Longstaff Schwartz American Option Price Analysis
Simple implementation of the Longstaff Schwarts Least Square Regression approach

6 years 前 | 3 次下载 |

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Commodity UK Power Half Hour Hedging Examples
Example of Commodity UK Power Hedging such as Value Neutral and Base Peak Ratios

6 years 前 | 1 次下载 |

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Commodity Roll Analysis
Simple analysis on calculating returns of historical forward curve time series

7 years 前 | 1 次下载 |

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Monte Carlo example of a Multi Commodity Spot and Forward curves Simulator
Implementation of a commodity spot and Multi-Factor forward curve simulator for coupled markets

8 years 前 | 3 次下载 |

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Finite Difference solution to nonlinear diffusion equation
Numerical solution to nonlinear diffusion equation and creates movie of results

9 years 前 | 1 次下载 |

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Ornstein Uhlenbeck Simulations and Descretisation error
Ornstein Uhlenbeck simulations based on simple discretisation and compared to Gillespie solution

9 years 前 | 4 次下载 |

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UK Power Value Neutral hedge
Example of a value neutral hedge for the UK power (electricity) markets.

14 years 前 | 3 次下载 |

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Term Structure of Volatility Calibration
Derives term structure parameters used in Commodity pricing

14 years 前 | 1 次下载 |

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Clewlow and Strickland Commodity one factor spot model
Commodity one factor spot price model

14 years 前 | 4 次下载 |

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Salvaging a Linear Correlation Matrix
Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods

14 years 前 | 1 次下载 |

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Converts Excel serial date to day month year and back
Simple function to convert Excel serial date to day, month, year and back.

14 years 前 | 1 次下载 |