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Ahmos Sansom


Last seen: 4 månader ago Active since 2009

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

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Submitted


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

4 månader ago | 4 downloads |

Submitted


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

mer än 6 år ago | 4 downloads |

Submitted


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

nästan 7 år ago | 1 download |

Submitted


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

mer än 7 år ago | 1 download |

Submitted


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

mer än 8 år ago | 2 downloads |

Submitted


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

nästan 9 år ago | 3 downloads |

Submitted


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

nästan 10 år ago | 1 download |

Submitted


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

ungefär 14 år ago | 3 downloads |

Submitted


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

ungefär 14 år ago | 1 download |

Submitted


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

mer än 14 år ago | 2 downloads |

Submitted


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

mer än 14 år ago | 1 download |

Submitted


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

mer än 14 år ago | 1 download |