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
Finance
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
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
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