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Ahmos Sansom


Last seen: etwa 2 Monate vor |  Aktiv seit 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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  • Matrix Patterns I Master
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Gesendet


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

etwa 2 Monate vor | 4 Downloads |

Gesendet


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

mehr als 6 Jahre vor | 3 Downloads |

Gesendet


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

mehr als 6 Jahre vor | 1 Download |

Gesendet


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

etwa 7 Jahre vor | 1 Download |

Gesendet


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

mehr als 8 Jahre vor | 3 Downloads |

Gesendet


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

fast 9 Jahre vor | 1 Download |

Gesendet


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

mehr als 9 Jahre vor | 4 Downloads |

Gesendet


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

fast 14 Jahre vor | 3 Downloads |

Gesendet


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

etwa 14 Jahre vor | 1 Download |

Gesendet


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

etwa 14 Jahre vor | 4 Downloads |

Gesendet


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

etwa 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.

mehr als 14 Jahre vor | 1 Download |