In the previous post I demonstrated how to web scrape data from a website with the intention of using the data as part of a geographic information system (GIS) data analysis pipeline. The data that we scraped are the addresses of all CVS pharmacies in the US. Now that we have the data we need … Continue reading Geocoding & Proximity Analysis with PostGIS
Web Scraping CVS Pharmacy addresses with Go Colly
The web is a treasure trove of information. However, while we can easily read the information displayed on a website, scrapping the very same information algorithmically for data analysis is not so simple. Thus for this blog post I am going to demonstrate a web scraping example using the Go programming language and an excellent … Continue reading Web Scraping CVS Pharmacy addresses with Go Colly
Natural Gas Storage Valuation using Approximate Dynamic Programming
Introduction Recently I gave a talk on real options valuation using the Least Squares Monte Carlo method (LSM). LSM is a variant of Regression Monte Carlo (RMC) methods within the field of approximate dynamic programming (ADP). The goal of ADP is to overcome the "curse of dimensionality" that plagues traditional approaches to solving sequential optimization … Continue reading Natural Gas Storage Valuation using Approximate Dynamic Programming
Talk on Real Options using LSM
Today I presented on the topic of real options analysis using an approximate dynamic programming technique called the Least Squares Monte Carlo algorithm. The method was applied to real estate development. The model can be downloaded here (Update the talk is on YouTube here): Real Options Talk FinalDownload The default inputs and parameters of the … Continue reading Talk on Real Options using LSM
Swing Options – A Modeling Language Comparison
To become significantly more reliable, code must become more transparent. In particular, nested conditions and loops must be viewed with great suspicion. Complicated control flows confuse programmers. Messy code often hides bugs.— Bjarne Stroustruphttps://www.stroustrup.com/Software-for-infrastructure.pdf In the previous post I discussed the valuation of energy swing options, which I created in the Analytica modeling language. However … Continue reading Swing Options – A Modeling Language Comparison
Valuing Swing Options with Monte Carlo Simulation
Introduction This post provides an example of how to value a natural gas swing option using the Least Squares Monte Carlo method (LSM). Swing options are common option contracts in the energy industry. They allow managers flexibility in determining both the timing and quantity of delivery for energy and related commodities. These option contracts are … Continue reading Valuing Swing Options with Monte Carlo Simulation
Valuing R&D and Patents with Real Options Analysis
Patents and R&D projects, such as the development of new pharmaceuticals, are subject to substantial uncertainty in both the investment phase, which can be long and costly, as well as uncertainty about the market prospects of a commercialized product. Additionally managers possess operational flexibility allowing them to abandon projects that either become too costly to … Continue reading Valuing R&D and Patents with Real Options Analysis
Real Estate Real Options Analysis
Introduction One of the questions that arises in analyzing real estate development projects is how to phase the project to minimize the project's risks over construction periods that can last months if not years. Properly phasing, that is subdividing a project into separate self-contained stages, is an effective risk strategy as it allows the developer … Continue reading Real Estate Real Options Analysis
A Credit Risk Model
Recently I have been developing a credit risk model, so I thought I would post a scaled down version for anyone interested in using Monte Carlo simulation to analyze credit risk. As the global coronavirus pandemic has made clear, financial models need to explicitly account for uncertainty and rare events and Monte Carlo simulation is … Continue reading A Credit Risk Model
Real Options Valuation with Simulation
Introduction Many finance academics have long touted the superiority of the real options valuation approach for capital investment analysis over the traditional discounted cash flow method. The classic academic text on real options is Dixit & Pindyck (1994). They dedicated their book to "The Future" as they foretell of a time when real options analysis … Continue reading Real Options Valuation with Simulation
Freehold Finance 