Rank: 200 based on 385 downloads (last 30 days) and 14 files submitted
photo

Moeti Ncube

E-mail

Personal Profile:

Sr. Quant. and Power trader.

Professional Interests:
Energy markets, Monte Carlo Methods, Calibration Methods

 

Watch this Author's files

 

Files Posted by Moeti View all
Updated   File Tags Downloads
(last 30 days)
Comments Rating
09 Dec 2013 Screenshot A simple yet powerful model for simulating spot and forward prices A novel procedure that can be used for Monte Carlo pricing of commodities Author: Moeti Ncube monte carlo, spark spread, spot price model, forward price model, option pricing model, power price simulatio... 24 0
15 Nov 2011 Screenshot Calibration of Forward Price, Volatility, and Correlations across multiple assets Calibration of multiple Fwd Prices and Vol Curves Author: Moeti Ncube calibration, volatility term struc..., forward curve, schartz smith, curve optim 25 9
  • 4.0
4.0 | 4 ratings
17 Jun 2011 Binary Option Pricing Model Price Binary Options Author: Moeti Ncube binary option, black scholes, intrade 11 1
15 Jun 2011 Heston Model Calibration and Simulation Calibrated the Heston Model to market Option prices Author: Moeti Ncube heston model, option pricing, calibration, svm, stochastic volatility, finance 90 15
  • 5.0
5.0 | 2 ratings
11 Apr 2011 Screenshot Nonparametric Estimation of Regime Switching Data Methodology from simulated data without any modeling assumptions Author: Moeti Ncube markov chain, simulation, nonparametric, regime switching, discrete distribution 16 0
  • 5.0
5.0 | 1 rating
Comments and Ratings by Moeti View all
Updated File Comments Rating
09 Apr 2013 Calibration of Forward Price, Volatility, and Correlations across multiple assets Calibration of multiple Fwd Prices and Vol Curves Author: Moeti Ncube

Market volatility is the implied ATM options volatility (using Black's formula) of each forward contract.

14 Jan 2013 Calibration Method for the Schwartz-Smith Model A Kalman Smoother Expectation Maximization Procedure Author: Moeti Ncube

Hi, I believe I provided some reference in the pdf document included within the code.

07 Jan 2013 Get Stock Symbols This function gets the list of symbols for stocks from indices and/or sectors. Author: Alejandro Arrizabalaga

Great work!

18 Sep 2012 Calibration of Forward Price, Volatility, and Correlations across multiple assets Calibration of multiple Fwd Prices and Vol Curves Author: Moeti Ncube

By initial parameters do you mean the forward and vol prices? If so I just used the current forward/vols prices from the market on the valuation date.

The correlation parameters could probably use a bit more analysis but I just took some rough estimates based off of historical movements.

17 Jul 2012 Daylight Savings Time Checks if a date is during USA daylight savings time Author: Nate

Comments and Ratings on Moeti 's Files View all
Updated File Comment by Comments Rating
20 Jun 2014 Simulation of Schwartz-Smith two Factor model Replicated results given in Schwartz-Smith paper. Author: Moeti Ncube Audrey

15 Jun 2014 Heston Model Calibration and Simulation Calibrated the Heston Model to market Option prices Author: Moeti Ncube jie

very good

23 Apr 2014 Nonparametric Estimation of Regime Switching Data Methodology from simulated data without any modeling assumptions Author: Moeti Ncube Araujo, Luiz

18 Mar 2014 Heston Model Calibration and Simulation Calibrated the Heston Model to market Option prices Author: Moeti Ncube mj

Dear Moeti,
In Heston model, If the parameters obey 2*kappa*theta> sig (known as the Feller condition) then the process volatility is strictly positive. When I run your codes even using your marketdata, calibrated parameters violate the feller condition. Could you please explain why it is so and probably fix it if possible.
Thanks in advance

10 Jan 2014 Calibration of Forward Price, Volatility, and Correlations across multiple assets Calibration of multiple Fwd Prices and Vol Curves Author: Moeti Ncube Lisa

Hi this is a really good practice. Thanks very much! Here I have some questions regarding the work:
1) Solver is very sensitive to the initial values. If I change it drastically, sometimes I got very different minimum target cell.. How did you deal with it? Do you think the algorithm in Matlab like fminunc() etc. gonna help?

2) I found the formulas for the two ---- V[lnS(T)] and V[lnF(T)] ---- are exactly same. Why? If they are theoretically same, why the calculations afterwards sometimes use V(lnS) sometimes use V(lnF)?

I'd like to appreciate your work anyways, hope can get back from you soon!

Contact us