Ahmos Sansom

Last seen: 3 mois il y a | Actif depuis 2009

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

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A soumis

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

8 mois il y a | 2 téléchargements |

4.0 / 5

A soumis

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

environ un an il y a | 2 téléchargements |

5.0 / 5

A soumis

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

plus de 7 ans il y a | 1 téléchargement |

0.0 / 5

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 7 ans il y a | 1 téléchargement |

0.0 / 5

A soumis

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

environ 8 ans il y a | 1 téléchargement |

0.0 / 5

A soumis

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

plus de 9 ans il y a | 1 téléchargement |

0.0 / 5

A soumis

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

plus de 10 ans il y a | 2 téléchargements |

5.0 / 5

A soumis

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

presque 15 ans il y a | 1 téléchargement |

0.0 / 5

A soumis

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

presque 15 ans il y a | 1 téléchargement |

0.0 / 5

A soumis

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

presque 15 ans il y a | 2 téléchargements |

0.0 / 5

A soumis

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

environ 15 ans il y a | 1 téléchargement |

0.0 / 5

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 15 ans il y a | 1 téléchargement |

0.0 / 5