Software Listing of Author : "Ahmos Sansom"

Introduction ---------------- This code simulates commodity spot prices using the Clewlow and Strickland one factor daily spot model using a Monte Carlo approach. The derived stochastic differential equations (SDEs) are solved using several finite difference schemes. The paper detailing the equations is available online in ref 1 below. The example requires a commodity forward curve and assumes a one factor volatility model of the form sigma = A exp(-c(T-t)), where A is the cash volatility, c is the mean reversion rate and T is the maturity. The code highlights several different finite difference schemes to solve the spot equation applied using a Monte Carlo appraoch. Numerical finite difference schemes 1 = Euler log transformation 2 = Euler scheme 3 = Semi implicit Euler log transformation 4 = Weak predictor/Corrector on log...

  • Platform: Matlab, Scripts

Solves nonlinear diffusion equation which can be linearised as shown for the general nonlinear diffusion equation in Richtmyer & Morton [1]. The approach is to linearise the pde and apply a Crank-Nicolson implicit finite difference scheme to solve the equation numerically. Matlab run command -------------------------- type: IsoFreeSurfaceSolver solves the pde: ------------------- frac{partial h}{partial t}=frac{1}{12}frac{partial^2 h^4}{partial x^2} The pde has the application to isothermal viscous fluid flow spreading on a horizonatal substrate under gravity - Huppert [2]. Note that PDE has been nondimensionlised. Initial conditions: t=0: h = (1 - x^2)_{+} + 10^-6 (has prewetting film) The spatial domain is discretised taking account of symmetry at x = 0: frac{partial h}{partial x} = 0 and is also used to close the...

  • Platform: Matlab, Scripts

The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6. Use CorrelationExample.m that applies a simple example for the two cases.

  • Platform: Matlab, Scripts

This code optimises the parameters for the term structure of volatility (TSOV) applied to historical forward curves - see discussion in Harris in reference 1 below. TSOVs avaible are: TermType - 1 = sigma = A exp (-CT) - 2 = sigma = A exp (-CT) + D - 3 = sigma = (A + BT) exp (-CT) + D Required data - Local volatility and return data - both assumed annualised. The optimisation applies the nonlinear least square fitting tool and MLE approach using the fminsearch function - see reference 2. To run type: TSOVControl This code can be used to derive TSOV parameters for the Clewlow and Strickland Forward curve or spot models. References 1. "Electricity Markets, - Pricing, Structures and Economics, " Chris Harris, Wiley, 2006. Discussion on MLE vs. FMINSEARCH 2....

  • Platform: Matlab, Scripts

Simple example showing how a value neutral hedge is determined for the UK power (electricity) markets. HedgeControl Function for power hedging of Balance of Month, Monthly and Seasonal products based on value forward preservation hedging, i.e. uses the forward curve to determine the value neutral hedge. The code assumes that there is limited liquidity and that only Base, Peak and Night products are only available to hedge the demand profile. To run: HedgeControl

  • Platform: Matlab, Scripts
New Reviews

Print Inspector

Whether you are using a printer connected to your local desktop computer or a print server sometimes you need to see whats going on in your printer by having a close look at the print jobs sent by the users. Print Inspector is such type software ...

Disk Genius

Disk Genius was formerly known as Partition Guru which is an all-in-one solution for disk partition management, data recovery and disk repairing. It can recover lost files from partition, backup and restore partition table, clone partition or clone ...

Safe In Cloud

It is quite difficult to find any computer users nowadays who do not need to use the web, for any purpose. Whether it is for education or entertainment, the web is your best resource. You also need to use various online services for banking, ...


Nowadays, a majority of PC users resort to digital image editing once in a while. It may be required for retouching image captured in smart phones or for creating an album in Facebook. For some people, tinkering with digital images is a pastime too. ...

Panda Cloud Cleaner

PC security has become a tricky and complicated subject both for home users and network supervisors, with complexity and risk factors multiplying over the years. Using a single antivirus app may not be enough anymore. That explains why many users ...


Nearly every PC users need to take screenshots from time to time, whether it is for personal or professional needs. While using the basic Windows screenshot capture method is available, it is not adequate for everyone. When you want to capture ...


Dealing with various types of data efficiently holds the key to success in any computing task. Apart from generating new data and modifying existing files, it becomes necessary to delete existing files at times. While most users resort to using ...

New Downloads

PostgreSQL Data Access

PostgreSQL Data Access
Components is a library of
components that provides
native connectivity to
PostgreSQL from Delphi ...

Universal Data Access

Universal Data Access
Components is a library of
components that provides
direct access to multiple
databases from Delphi ...

Shadow Analyzer

Shadow Analyzer is an advanced
parametric CAD tool for
professionals in the area of
Solar Energy Engineering and

Folder Lock

File locking software that
Encrypts your important files
and lets you shred the
unnecessary space consuming
files. ...

ReliefJet Essentials for

A large set of useful and
easy-to-use tools for every
Microsoft Outlook user:
Import, export and convert
using ...

C# Read Excel File

We can easily use IronExcel to
read Excel files in any C# or
VB .NET application, including
those developed with .NET ...

SecureFX for Mac

A highly configurable secure
file transfer client for SFTP,
FTP/TLS, SCP and FTP with
advanced features like site

Pixillion Image Converter
Software Free

Pixillion Image Converter
Software Free is perfect for
converting your image files
for posting on the web,
emailing to ...

FTPGetter Professional

FTPGetter Professional lets
users automate FTP and SFTP
transfers. Instead of manually
relocating and getting to the


FolderMill monitors a folder
and automatically prints or
converts incoming documents to
PDF, JPG or TIFF. Just define