Ornstein Uhlenbeck simulations based on simple discretisation and compared to Gillespie solution
1 year ago
Implementation of a commodity spot and Multi-Factor forward curve simulator for coupled markets
1 month ago
Numerical solution to nonlinear diffusion equation and creates movie of results
5 months ago
Implementation of the Multi-Factor multi commodity forward curve simulator
2 years ago
Commodity one factor spot price model
5 years ago
Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods
6 years ago
Derives term structure parameters used in Commodity pricing
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.