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Ahmos Sansom


Last seen: environ un mois il y a Actif depuis 2009

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

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A soumis


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

environ un mois il y a | 7 téléchargements |

A soumis


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

plus de 6 ans il y a | 3 téléchargements |

A soumis


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

plus de 6 ans il y a | 1 téléchargement |

A soumis


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

environ 7 ans il y a | 1 téléchargement |

A soumis


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

plus de 8 ans il y a | 3 téléchargements |

A soumis


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

presque 9 ans il y a | 2 téléchargements |

A soumis


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

plus de 9 ans il y a | 5 téléchargements |

A soumis


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

presque 14 ans il y a | 3 téléchargements |

A soumis


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

presque 14 ans il y a | 1 téléchargement |

A soumis


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

environ 14 ans il y a | 3 téléchargements |

A soumis


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

environ 14 ans il y a | 1 téléchargement |

A soumis


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

plus de 14 ans il y a | 1 téléchargement |