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Solves nonlinear diffusion equation which can be linearised as shown for the general nonlinear diffusion equation in Richtmyer & Morton . The approach is to linearise the pde and apply a Crank-Nicolson implicit finite difference scheme to solve the equation numerically.
Matlab run command
solves the pde:
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...
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...
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...
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)
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