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by MF01
March 29th, 2010, 9:46 am
Forum: Trading Forum
Topic: Basic question - how do commodities get "delivered"?
Replies: 14
Views: 196786

Basic question - how do commodities get "delivered"?

<t>Natural gas in UK , for example, is delivered at what is called a balancing point, which is any node on the gas distribution network in UK. Electricity in UK, is delivered into the grid. Rarely, traders would take the delivery and typically the trades end up being closed before the delivery( as a...
by MF01
March 29th, 2010, 9:36 am
Forum: Trading Forum
Topic: Building Energy Trading/Risk Management Sheets
Replies: 1
Views: 30356

Building Energy Trading/Risk Management Sheets

i think Energy Risk by Dragana Pilipovic might be helpful. i am not sure if you are asking for a readymade code - i dont know if the book has it - but it is an excellent resource for understanding energy risk management.Hope this helps.Regards,MF
by MF01
March 19th, 2010, 5:15 pm
Forum: Trading Forum
Topic: Retail Forex Trading Platforms/Brokers
Replies: 8
Views: 32970

Retail Forex Trading Platforms/Brokers

Thank You all for the replies. I think IB and OANDA seem to be better brokers compared to others.
by MF01
March 9th, 2010, 4:48 pm
Forum: Trading Forum
Topic: Retail Forex Trading Platforms/Brokers
Replies: 8
Views: 32970

Retail Forex Trading Platforms/Brokers

<r>yuryr - Do you have any experience with trading fx ? There are some who allegedly do provide access to interbank fx rates ( which is as close a market acces as one can get in fx) with the benefit of lower pip spreads, like the interactivebrokers, <URL url="http://www.interactivebrokers.com">www.i...
by MF01
March 9th, 2010, 2:06 pm
Forum: Trading Forum
Topic: Retail Forex Trading Platforms/Brokers
Replies: 8
Views: 32970

Retail Forex Trading Platforms/Brokers

<t>Hi All,Could people here please share their experiences with retail forex platforms/brokers from their experience. Naturallly, any good or bad experience would be helpful to make a decision in regards to the trustworthiness of these companies, in which some are out there to take money blatantly.I...
by MF01
March 18th, 2008, 8:14 am
Forum: Technical Forum
Topic: Trinomial Tree calibrated to fwd price and vol term structrures
Replies: 3
Views: 57794

Trinomial Tree calibrated to fwd price and vol term structrures

<t> MCarreira, Many Thanks for the reply.I read the Clewlow - Strickland and derived the equations which I think are consistent with my problem, but just in the first time step I get a long term mean price level of 0.75 ,which looks wrong. Given that the mean price at that step is 32.Please, any ide...
by MF01
March 17th, 2008, 9:04 pm
Forum: Technical Forum
Topic: Trinomial Tree calibrated to fwd price and vol term structrures
Replies: 3
Views: 57794

Trinomial Tree calibrated to fwd price and vol term structrures

Come on please, somone must have implemented this before. I spent a long time on this and seem to have hit the wall. Please couldn't anyone help me on this one.
by MF01
March 14th, 2008, 9:15 am
Forum: Technical Forum
Topic: Trinomial Tree calibrated to fwd price and vol term structrures
Replies: 3
Views: 57794

Trinomial Tree calibrated to fwd price and vol term structrures

<t>Hi,Please could someone let me know of a book or a paper that explains the calibration of a mean reverting trinomial tree to the forward price and the volatility term structures applied in the energy markets. There is lot of information on such techniques for interest rate markets . I read the Hu...
by MF01
September 15th, 2007, 10:59 am
Forum: Student Forum
Topic: Q on using normal inverse Gauss (NIG)
Replies: 16
Views: 191296

Q on using normal inverse Gauss (NIG)

Thanks AVt... I would take your suggestion !!
by MF01
September 14th, 2007, 10:18 am
Forum: Student Forum
Topic: Q on using normal inverse Gauss (NIG)
Replies: 16
Views: 191296

Q on using normal inverse Gauss (NIG)

AVt,why do you scale the delta by multiplying it with "t". Is it the actual variance of , say prices, that you are modelling.I read somewhere, the variance of NIG is : delta * alpha^2 /(alpha^2 - beta^2)^(3/2)Please help me clear the confusion .Thanks.
by MF01
September 14th, 2007, 9:04 am
Forum: Numerical Methods Forum
Topic: NIG Tree - Risk Neutral densities
Replies: 1
Views: 66257

NIG Tree - Risk Neutral densities

Hi All,I am writing code to develop a multinomial tree for NIG process, does any one know how I could estimate the risk neutral transition densities at each node. Thanks.MF
by MF01
August 13th, 2007, 2:50 pm
Forum: Numerical Methods Forum
Topic: Maximum Likelihood Estimation of Jump Parameters
Replies: 1
Views: 68442

Maximum Likelihood Estimation of Jump Parameters

Try using the Kalman filter method...I haven't used it but I think this is used elsewhere for estimation of jump diffusion models.
by MF01
August 13th, 2007, 10:55 am
Forum: Student Forum
Topic: commodities books
Replies: 7
Views: 68078

commodities books

by MF01
August 13th, 2007, 10:53 am
Forum: Student Forum
Topic: commodities books
Replies: 7
Views: 68078

commodities books

"Energy Derivatives - Pricing and Risk Management" by Clewlow and Strickland and "Energy Risk - Valuing and Managing Energy Derivatives " by Pilipovic are two very good books on commodities markets.
by MF01
August 13th, 2007, 9:18 am
Forum: Careers Forum
Topic: HSMP income requirement
Replies: 12
Views: 68025

HSMP income requirement

I would go with RiskCapital's suggestion.
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