Top 10% contributor
Implementation of a commodity spot and Multi-Factor forward curve simulator for coupled markets
12 months ago
Ornstein Uhlenbeck simulations based on simple discretisation and compared to Gillespie solution
2 years 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
Derives term structure parameters used in Commodity pricing
6 years ago
Commodity one factor spot price model
Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods
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.
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