Ahmos Sansom
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Monte Carlo of a Multi Commodity Spot and Forward Simulator
Implementation of a commodity spot and Multi-Factor forward curve simulator for coupled markets
1 year 前 | 2 次下载 |
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Monte Carlo of Multi-Factor coupled Commodity Forwards
Implementation of the Multi-Factor multi commodity forward curve simulator
1 year 前 | 1 次下载 |
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Longstaff Schwartz American Option Price Analysis
Simple implementation of the Longstaff Schwarts Least Square Regression approach
8 years 前 | 1 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
8 years 前 | 1 次下载 |
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Commodity Roll Analysis
Simple analysis on calculating returns of historical forward curve time series
8 years 前 | 1 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
10 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
11 years 前 | 1 次下载 |
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UK Power Value Neutral hedge
Example of a value neutral hedge for the UK power (electricity) markets.
15 years 前 | 1 次下载 |
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Term Structure of Volatility Calibration
Derives term structure parameters used in Commodity pricing
15 years 前 | 1 次下载 |
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Clewlow and Strickland Commodity one factor spot model
Commodity one factor spot price model
15 years 前 | 1 次下载 |
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Salvaging a Linear Correlation Matrix
Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods
15 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.
16 years 前 | 1 次下载 |
