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Ahmos Sansom


Last seen: circa 2 mesi fa |  Attivo dal 2009

Followers: 0   Following: 0

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

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Inviato


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

circa 2 mesi fa | 4 download |

Inviato


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

oltre 6 anni fa | 3 download |

Inviato


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

oltre 6 anni fa | 1 download |

Inviato


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

circa 7 anni fa | 1 download |

Inviato


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

oltre 8 anni fa | 3 download |

Inviato


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

quasi 9 anni fa | 1 download |

Inviato


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

oltre 9 anni fa | 4 download |

Inviato


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

quasi 14 anni fa | 3 download |

Inviato


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

circa 14 anni fa | 1 download |

Inviato


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

circa 14 anni fa | 4 download |

Inviato


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

circa 14 anni fa | 1 download |

Inviato


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

oltre 14 anni fa | 1 download |