<?xml version="1.0" encoding="UTF-8"?><rss version="0.92">
<channel>
	<title>sitmo.com</title>
	<link>http://www.sitmo.com</link>
	<description>Custom Financial Research and Development Services</description>
	<lastBuildDate>Thu, 05 Apr 2012 10:35:44 +0000</lastBuildDate>
	<docs>http://backend.userland.com/rss092</docs>
	<language>en</language>
	

	<item>
		<title>Light Intensity Modelling For Electricity Forward Curves</title>
		<description><![CDATA[Light intensity modelling is one the most important but also most often flawed element in electricity demand-, generation- and price-modelling. In this article we present the detailed properties of the our high quality light intensity model. Light Intensity Observations The plot below shows a graph of light intensity measurement that were done during a the [...]]]></description>
		<link>http://www.sitmo.com/article/light-intensity-modelling-and-forward-curves/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=light-intensity-modelling-and-forward-curves</link>
			</item>
	<item>
		<title>Lagged XOR Engine Adaptor in C++ for Generating Parallel Random Number Streams</title>
		<description><![CDATA[The lagged XOR engine adaptor implements a simple yet robust technique for generating independent random number streams. It has the following properties: Fast. The overhead has been tested to be approx 10% on top of Mersenne Twister for lag up to 150, and looks constant -doesn&#8217;t increase with the lag size-. Portable. It&#8217;s compatible with [...]]]></description>
		<link>http://www.sitmo.com/article/a-lagged-xor-engine-adaptor/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=a-lagged-xor-engine-adaptor</link>
			</item>
	<item>
		<title>Generating Random Numbers in C++ with Boost.Random</title>
		<description><![CDATA[The boost libraries (boost.org) are high regarded C++ libraries, and a lot of those libraries have ended up being accepted in the C++ standard. TheBoost.Random library is a great library for generating random numbers. If offers a wide range of random number generators, and a wide range of distribution to sample from. The code snippet [...]]]></description>
		<link>http://www.sitmo.com/article/generating-random-numbers-in-c-with-boost/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=generating-random-numbers-in-c-with-boost</link>
			</item>
	<item>
		<title>Generating Random Numbers in C++ with the native TR1 implementation</title>
		<description><![CDATA[The new upcoming C++11 standard offers great support for random number generation in C++. If you have Visual Studio 2008 with the Visual Studio Feature Pack -or- with SP1 installed, or GCC 4.2 or higher, then the code below should work. The code generates 10 standard normal distributed random numbers. #include &#60;iostream&#62; &#160; #if defined(_MSC_VER) [...]]]></description>
		<link>http://www.sitmo.com/article/generating-random-numbers-with-c-tr1/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=generating-random-numbers-with-c-tr1</link>
			</item>
	<item>
		<title>The Distribution of The Sample Correlation</title>
		<description><![CDATA[When you generate a set of correlated random number and then calculate the correlation of those samples, you&#8217;ll notice that the calculated &#8220;sample correlation&#8221; can deviate from the correlation value use to generate the samples. This is because of the randomness of the samples, and the limited number of samples you use Note: You can [...]]]></description>
		<link>http://www.sitmo.com/article/the-distribution-of-the-sample-correlation/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=the-distribution-of-the-sample-correlation</link>
			</item>
	<item>
		<title>Generating Correlated Random Numbers</title>
		<description><![CDATA[This article describes common methods that are used in generating correlated random numbers. Generating two sequences of correlated random numbers Generating two sequences of random numbers with a given correlation is done in two simple steps: Generate two sequences of uncorrelated normal distributed random numbers Define a new sequence This new sequence will have a [...]]]></description>
		<link>http://www.sitmo.com/article/generating-correlated-random-numbers/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=generating-correlated-random-numbers</link>
			</item>
	<item>
		<title>Validation of Treasury and Trading Pricing and Risk Management Models and System</title>
		<description><![CDATA[This is an interim project I did in the period June 2011- Jan 2012 at a Dutch Bank. The implementation of a new treasury and risk management system at a bank called for a formal validation of the both the system output, as well as the system configuration. Validation / Configuration: Defining swap curves, contributing [...]]]></description>
		<link>http://www.sitmo.com/article/validation-of-treasury-and-trading-pricing-and-risk-management-models-and-system/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=validation-of-treasury-and-trading-pricing-and-risk-management-models-and-system</link>
			</item>
	<item>
		<title>Quantitative Strategic Modeling – Regulatory Impact Assessment</title>
		<description><![CDATA[This was a project I did in the period September 2011 &#8211; January 2012 European- and State regulations are open to dialogs with industries. In this study, the financial impact on my client of a wide variety of possible future regulatory scenario’s are examined using quantitative modeling and scenario analysis. The results of the study [...]]]></description>
		<link>http://www.sitmo.com/article/quantitative-strategic-modeling-%e2%80%93-regulatory-impact-assessment/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=quantitative-strategic-modeling-%25e2%2580%2593-regulatory-impact-assessment</link>
			</item>
	<item>
		<title>Brownian motion transform invariants</title>
		<description><![CDATA[Below are some usefull transform invariants for Brownian motion. &#160; &#160;]]></description>
		<link>http://www.sitmo.com/article/brownian-motion-transform-invariants/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=brownian-motion-transform-invariants</link>
			</item>
	<item>
		<title>Some usefull definitions for stochastic processes</title>
		<description><![CDATA[Bayes&#8217;s Rule &#160; &#160; Mean &#8211; Variance and r-moment about the mean &#160; &#160; Laplace transform of pdf &#160; &#160; Information content &#160; &#160; Conditional distribution &#160; &#160; Characteristic function &#160; &#160; Independent random variables note: &#160; &#160; Expected value &#160; &#160; Jointly Normal Distribution density function &#160; &#160; Orthogonal r.v.&#8217;s &#160; &#160; Correlation coefficient [...]]]></description>
		<link>http://www.sitmo.com/article/some-usefull-definitions-for-stochastic-processes/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=some-usefull-definitions-for-stochastic-processes</link>
			</item>
	<item>
		<title>An Internally Consistent Interpolation Method for Yield Curves</title>
		<description><![CDATA[Here we present a new yield curve interpolation method, one that&#8217;s based on conditioning a stochastic model on a set of market yields. The concept is closely related to a Brownian bridge where you generate scenario according to an SDE, but with the extra condition that the start and end of the scenario&#8217;s must have [...]]]></description>
		<link>http://www.sitmo.com/article/an-internally-consistent-interpolation-method-for-yield-curves/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=an-internally-consistent-interpolation-method-for-yield-curves</link>
			</item>
	<item>
		<title>Binomial and Trinomial Trees</title>
		<description><![CDATA[A list of popular binomial and trinomial tree used in finance for pricing options. Binomial Tree, geometric Brownian motion: Cox, Ross, Rubinstein The Binomial tree is a discretized description of geometric Brownian motion which is often used to describe asset behavior. The structure is a recombining tree where the asset S can move either up [...]]]></description>
		<link>http://www.sitmo.com/article/binomial-and-trinomial-trees/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=binomial-and-trinomial-trees</link>
			</item>
	<item>
		<title>Numerical Differentiation</title>
		<description><![CDATA[The equations in this category are used to estimate the derivative of functions. These routines are quite often used in finance to estimate sensitivities like delta,gamma,theta, and the estimation of boundary conditions. First derivative: 2 point rules Approximation formula for the first derivative. These equations are known as the forward and backward Eurler rules. &#160; [...]]]></description>
		<link>http://www.sitmo.com/article/numerical-differentiation/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=numerical-differentiation</link>
			</item>
	<item>
		<title>Popular Stochastic Processes in Finance</title>
		<description><![CDATA[This list contains the most common stochastic processes used in finance. Ornstein-Uhlenbeck process The Ornstein-Uhlenbeck process is the most common mean reverting stochastic process. &#160; &#160; Geometric Brownian motion SDE The Geometric Brownian describes the most widely used model in finance. It is used to simulate the stochastic behaviour of stocks, currencies, futures. The value [...]]]></description>
		<link>http://www.sitmo.com/article/popular-stochastic-processes-in-finance/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=popular-stochastic-processes-in-finance</link>
			</item>
	<item>
		<title>Probability Distributions</title>
		<description><![CDATA[This page gives an overview of some well known probability distributions. Normal distribution &#160; &#160; Exponential distribution &#160; &#160; Lognormal distribution &#160; &#160; Gamma distribution &#160; &#160; Double exponential (Laplacian) distribution &#160; &#160; Uniform distribution &#160; &#160; Beta distribution &#160; &#160; Cauchy distribution The Cauchy distribution has an undefined mean and variance. &#160; &#160; Weibull [...]]]></description>
		<link>http://www.sitmo.com/article/probability-distributions/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=probability-distributions</link>
			</item>
	<item>
		<title>Spread Option Pricing Model</title>
		<description><![CDATA[This equation uses the Gauss-Legendre quadrature to approximate the value of a spread option. The Gauss-Legendre quadrature abscissas (Xi) are rescaled in the range -4 to +4. The equation is unbiased and gives very accurate results, typical 6 digit accuracy with 16 quadrature points. The method was describes by K. Ravindran in his paper &#8220;Low-fat [...]]]></description>
		<link>http://www.sitmo.com/article/spread-option-pricing-model/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=spread-option-pricing-model</link>
			</item>
	<item>
		<title>Joint high-low probability of geometric Brownian motion</title>
		<description><![CDATA[This equation gives the probability that the high and the low of an underlying are within the range [L,H]. The underlying behavior is geometric Brownian motion with a yield (drift) , volatility , and has an initial value of Equation &#160; &#160;]]></description>
		<link>http://www.sitmo.com/article/joint-high-low-probability-of-geometric-brownian-motion/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=joint-high-low-probability-of-geometric-brownian-motion</link>
			</item>
	<item>
		<title>Calculating Correlation and Means with Missing Data</title>
		<description><![CDATA[A great deal has been written about fixing &#8216;invalid correlation matrices&#8217; for risk management purposes. Correlation matrices are invalid when it&#8217;s mathematically impossible to generate random numbers with those mutual correlations. The most common cause of this problem -as seen in finance- is that the correlation matrices numbers are made up, or are based on [...]]]></description>
		<link>http://www.sitmo.com/article/calculating-correlation-and-means-with-missing-data/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=calculating-correlation-and-means-with-missing-data</link>
			</item>
	<item>
		<title>Probability of the High of Geometric Brownian Motion</title>
		<description><![CDATA[This article describes the probability distribution of the high of a geometric Brownian motion. An equation is given that calculates the probability that the high is above a certain level H within a given timeframe 0&#60;t&#60;T. Equation &#160; &#160; The highest value of in the time period 0]]></description>
		<link>http://www.sitmo.com/article/probability-of-the-high-of-geometric-brownian-motion/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=probability-of-the-high-of-geometric-brownian-motion</link>
			</item>
	<item>
		<title>A Simple and Extremely Fast C++ Template for Matrices and Tensors</title>
		<description><![CDATA[This article describes a very simple and efficient solution for handling matrices and tensors in C++. The idea is to store the matrix (or tensor) in a standard vector by translating the multidimensional index to a one dimensional index. E.g. we can store this matrix &#160; c0 c1 c2 c3 r0 (0,0) (0,1) (0,2) (0,3) [...]]]></description>
		<link>http://www.sitmo.com/article/a-simple-and-extremely-fast-c-template-for-matrices-and-tensors/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=a-simple-and-extremely-fast-c-template-for-matrices-and-tensors</link>
			</item>
	<item>
		<title>Model Validation: Production Optimization</title>
		<description><![CDATA[A Dutch energy firm has asked us to run a model validation. The model is designed to optimize the electricity cost of a large industrial plant, and uses hourly electricity prices curves for the cost part, and a mixed integer linear programming model for the plant constrained optimization with the production flexibility limits.]]></description>
		<link>http://www.sitmo.com/article/model-validation-production-optimization/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=model-validation-production-optimization</link>
			</item>
	<item>
		<title>Weighted Single-pass Mean and Covariance</title>
		<description><![CDATA[One of the algorithms used in the Probability Engine is a weighted covariance calculation. Instead of using a simple two pass algorithm, we chose for a single pass algorithm that improves both speed and accuracy. A particular nice feature of this single-pass weighted covariance algorithms is that it also allows for parallel execution and merging [...]]]></description>
		<link>http://www.sitmo.com/article/weigthed-single-pass-mean-and-covariance/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=weigthed-single-pass-mean-and-covariance</link>
			</item>
	<item>
		<title>Digital Spread Option Pricing Model</title>
		<description><![CDATA[Digital spread options have a payoff that depends on the difference -spread- between two underlying S1,S2. The payoff is 1 unit (Dollar, Euro) if the spread S1-S2 is greater that a strike K, and zero otherwise. This article gives the pricing formula of the option considering a Black &#38; Scholes world. Digital spread options have [...]]]></description>
		<link>http://www.sitmo.com/article/digital-spread-option-pricing-model/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=digital-spread-option-pricing-model</link>
			</item>
	<item>
		<title>Asset Optimization for a water utility</title>
		<description><![CDATA[This project involved cost optimization the water transport- and purification process. We looked at the production flexibility, and examined how we can reschedule production to lower electricity cost. Electricity prices are not constant, and the cost reduction strategy involves rescheduling electricity use to cheaper hours. We showed that production costs van be reduced by 20% [...]]]></description>
		<link>http://www.sitmo.com/article/asset-optimization-for-a-water-utility/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=asset-optimization-for-a-water-utility</link>
			</item>
	<item>
		<title>Calibrating the Ornstein-Uhlenbeck (Vasicek) model</title>
		<description><![CDATA[Two methods for calibrating the Ornstein Uhlenbeck process on historical data are given. The least square fit, and the maximum likelihood estimates. Matlab source code for methods in Matlab is given.]]></description>
		<link>http://www.sitmo.com/article/calibrating-the-ornstein-uhlenbeck-model/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=calibrating-the-ornstein-uhlenbeck-model</link>
			</item>
	<item>
		<title>Outgrowing Excel: Moving to the Cloud</title>
		<description><![CDATA[A client has been building some very useful Excel based tools for corporates. For their next release, we have been helping then move the data that is currently stored in Excel to a proper database. There are various reasons for doing so: Centralized storage, allowing for structured backup and replication Multiuser environment, allowing for roles, [...]]]></description>
		<link>http://www.sitmo.com/article/from-excel-to-a-database/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=from-excel-to-a-database</link>
			</item>
	<item>
		<title>Energy trading in Farming: Risk Management and Optimization</title>
		<description><![CDATA[Together with Maarten van der Kloot Meijburg, we have looked into the risk and trading behavior of farmers who own a CHP (combined heat power cogeneration). A lot of farmers own CHP&#8217;s, and that makes sense -they can use most of their outputs -power, heat, CO2- to grow their crops.]]></description>
		<link>http://www.sitmo.com/article/chp-operation-risk-management-and-optimization/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=chp-operation-risk-management-and-optimization</link>
			</item>
	<item>
		<title>Analysis of Renewable Regulatory Exposure</title>
		<description><![CDATA[I have completed a consultancy project that I did together with SQ consult for a large West-European energy utility. An interesting project, with interesting results! The goal of the project was to model the financial and strategic effects of 5 different (national and European) renewable energy regulatory scenariose on its portfolio. This model looked into [...]]]></description>
		<link>http://www.sitmo.com/article/renewable-subsidy-exposure/?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=renewable-subsidy-exposure</link>
			</item>
</channel>
</rss>

