Ahmos Sansom
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PhD in Applied mathematics from the University of Nottingham. Work in the Energy industry
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NOMBRE MOYEN DE LIKES
Feeds
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
7 jours il y a | 4 téléchargements |
A soumis
Monte Carlo of Multi-Factor coupled Commodity Forwards
Implementation of the Multi-Factor multi commodity forward curve simulator
5 mois il y a | 2 téléchargements |
A soumis
Longstaff Schwartz American Option Price Analysis
Simple implementation of the Longstaff Schwarts Least Square Regression approach
presque 7 ans il y a | 1 téléchargement |
A soumis
Commodity UK Power Half Hour Hedging Examples
Example of Commodity UK Power Hedging such as Value Neutral and Base Peak Ratios
presque 7 ans il y a | 1 téléchargement |
A soumis
Commodity Roll Analysis
Simple analysis on calculating returns of historical forward curve time series
plus de 7 ans il y a | 1 téléchargement |
A soumis
Finite Difference solution to nonlinear diffusion equation
Numerical solution to nonlinear diffusion equation and creates movie of results
environ 9 ans il y a | 1 téléchargement |
A soumis
Ornstein Uhlenbeck Simulations and Descretisation error
Ornstein Uhlenbeck simulations based on simple discretisation and compared to Gillespie solution
presque 10 ans il y a | 2 téléchargements |
A soumis
UK Power Value Neutral hedge
Example of a value neutral hedge for the UK power (electricity) markets.
environ 14 ans il y a | 3 téléchargements |
A soumis
Term Structure of Volatility Calibration
Derives term structure parameters used in Commodity pricing
plus de 14 ans il y a | 1 téléchargement |
A soumis
Clewlow and Strickland Commodity one factor spot model
Commodity one factor spot price model
plus de 14 ans il y a | 1 téléchargement |
A soumis
Salvaging a Linear Correlation Matrix
Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods
plus de 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.
presque 15 ans il y a | 1 téléchargement |