Ornstein Uhlenbeck simulations based on simple discretisation and compared to Gillespie solution
5 months ago
Implementation of the Multi-Factor multi commodity forward curve simulator
1 year ago
Numerical solution to nonlinear diffusion equation and creates movie of results
4 years ago
Implementation of a commodity spot and Multi-Factor forward curve simulator for coupled markets
4 months ago
Example of a value neutral hedge for the UK power (electricity) markets.
Commodity one factor spot price model
5 years ago
Derives term structure parameters used in Commodity pricing
Simple function to convert Excel serial date to day, month, year and back.
Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods
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