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Ahmos Sansom

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18 Jun 2013 Monte Carlo example of the Multi-Factor coupled Commodity Forward curves Simulator Implementation of the Multi-Factor multi commodity forward curve simulator Author: Ahmos Sansom finance, mathematics, optimization, simulation 28 2
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13 Jun 2010 Finite Difference solution to nonlinear diffusion equation Numerical solution to nonlinear diffusion equation and creates movie of results Author: Ahmos Sansom mathematics, finite difference 27 0
21 May 2010 UK Power Value Neutral hedge Example of a value neutral hedge for the UK power (electricity) markets. Author: Ahmos Sansom optimization, mathematics, finance 19 1
07 Apr 2010 Term Structure of Volatility Calibration Derives term structure parameters used in Commodity pricing Author: Ahmos Sansom mathematics, finance, optimization 16 0
16 Mar 2010 Clewlow and Strickland Commodity one factor spot model Commodity one factor spot price model Author: Ahmos Sansom finance, mathematics 21 0
Comments and Ratings by Ahmos
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15 Jan 2014 Monte Carlo example of the Multi-Factor coupled Commodity Forward curves Simulator Implementation of the Multi-Factor multi commodity forward curve simulator Author: Ahmos Sansom

Thanks for the comments, I'll check the simplification! There is spot price model in the technical note by Blanco and Pierce in Energy Risk, May 2012 that described how forward curve simulations can be used in a mean reverting spot model, i.e. the prompt month is used to mean revert to a spot price.

I'll contact you with further info and probably post the model when I convert to Matlab...

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15 Jan 2014 Monte Carlo example of the Multi-Factor coupled Commodity Forward curves Simulator Implementation of the Multi-Factor multi commodity forward curve simulator Author: Ahmos Sansom Sansom, Ahmos

Thanks for the comments, I'll check the simplification! There is spot price model in the technical note by Blanco and Pierce in Energy Risk, May 2012 that described how forward curve simulations can be used in a mean reverting spot model, i.e. the prompt month is used to mean revert to a spot price.

I'll contact you with further info and probably post the model when I convert to Matlab...

11 Jan 2014 Monte Carlo example of the Multi-Factor coupled Commodity Forward curves Simulator Implementation of the Multi-Factor multi commodity forward curve simulator Author: Ahmos Sansom Martin

Excellent submission.

A quick suggestion would be that in computing the optimum correlations Matrix, a cleaner way of doing this is [Inverse of Va]*[Covab]*[Inverse of the Transpose of Vb]. This gives the exact solution without needing the optimisation.

One quick question if I may. If the modeller wishes to extract the spot price, is this as simple as simulating the price path off the simulated prompt month with a contract expiry of now?

21 May 2010 UK Power Value Neutral hedge Example of a value neutral hedge for the UK power (electricity) markets. Author: Ahmos Sansom Learn By, Examples

Thank you. It helps me with my course paper in university
http://learnbyexamples.org/category/matlab

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