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Ahmos Sansom


Last seen: etwa ein Monat vor |  Aktiv seit 2009

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Nachricht

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

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Gesendet


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

etwa ein Monat vor | 2 Downloads |

Gesendet


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

6 Monate vor | 2 Downloads |

Gesendet


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

fast 7 Jahre vor | 2 Downloads |

Gesendet


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

etwa 7 Jahre vor | 1 Download |

Gesendet


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

mehr als 7 Jahre vor | 1 Download |

Gesendet


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

etwa 9 Jahre vor | 2 Downloads |

Gesendet


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

fast 10 Jahre vor | 2 Downloads |

Gesendet


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

mehr als 14 Jahre vor | 3 Downloads |

Gesendet


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

mehr als 14 Jahre vor | 1 Download |

Gesendet


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

mehr als 14 Jahre vor | 1 Download |

Gesendet


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

mehr als 14 Jahre vor | 1 Download |

Gesendet


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

fast 15 Jahre vor | 1 Download |