Maple for Commodity Finance - Maple Application Center
Application Center Applications Maple for Commodity Finance

Maple for Commodity Finance

Author
: I. Hlivka
Engineering software solutions from Maplesoft
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In this application we show how Maple can handle financial options models that have become popular in commodity finance. The financial trading of commodities has dramatically increased over past years as finance community started to look for non-standard instruments uncorrelated with the traditional financial products such as stocks, bonds, rates and currencies. Commodities, unlike their financial counterparts, require different approach to the process modeling: (i) commodities exhibit seasonality effects, (ii) commodity futures are exposed to many deformation modes, (iii) futures volatility is driven by the "Samuelson" effect that causes its drop as the expiry time shortens.

Application Details

Publish Date: February 01, 2010
Created In: Maple 13
Language: English

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