Top 10% contributor
Ornstein Uhlenbeck simulations based on simple discretisation and compared to Gillespie solution
2 years ago
Implementation of a commodity spot and Multi-Factor forward curve simulator for coupled markets
11 months ago
Numerical solution to nonlinear diffusion equation and creates movie of results
1 year ago
Implementation of the Multi-Factor multi commodity forward curve simulator
3 years ago
Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods
6 years ago
Simple function to convert Excel serial date to day, month, year and back.
7 years ago
Example of a value neutral hedge for the UK power (electricity) markets.
Derives term structure parameters used in Commodity pricing
Commodity one factor spot price model
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