Ahmos Sansom

Last seen: 6 månader ago | Active since 2009

Followers: 0 Following: 0

Message

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

Statistics

All

View badges

Feeds

Submitted

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

11 månader ago | 1 download |

4.0 / 5

Submitted

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

mer än ett år ago | 2 downloads |

5.0 / 5

Submitted

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

mer än 7 år ago | 1 download |

0.0 / 5

Submitted

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

nästan 8 år ago | 1 download |

0.0 / 5

Submitted

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

mer än 8 år ago | 1 download |

0.0 / 5

Submitted

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

nästan 10 år ago | 1 download |

0.0 / 5

Submitted

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

nästan 11 år ago | 1 download |

5.0 / 5

Submitted

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

ungefär 15 år ago | 1 download |

0.0 / 5

Submitted

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

ungefär 15 år ago | 1 download |

0.0 / 5

Submitted

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

ungefär 15 år ago | 1 download |

0.0 / 5

Submitted

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

mer än 15 år ago | 1 download |

0.0 / 5

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 15 år ago | 1 download |

0.0 / 5