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Ahmos Sansom


Last seen: Today Con actividad desde 2009

PhD in Applied mathematics from the University of Nottingham.

Work in the Energy industry

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Enviada


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

alrededor de 18 horas hace | 3 descargas |

Enviada


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

más de 6 años hace | 3 descargas |

Enviada


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

más de 6 años hace | 1 descarga |

Enviada


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

alrededor de 7 años hace | 1 descarga |

Enviada


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

más de 8 años hace | 3 descargas |

Enviada


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

más de 8 años hace | 5 descargas |

Enviada


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

más de 9 años hace | 1 descarga |

Enviada


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

casi 14 años hace | 1 descarga |

Enviada


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

casi 14 años hace | 1 descarga |

Enviada


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

casi 14 años hace | 2 descargas |

Enviada


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

alrededor de 14 años hace | 1 descarga |

Enviada


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

más de 14 años hace | 1 descarga |