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