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Project NPV@Risk | Ornstein-Uhlenbeck Jump model simulations
Analyst at an energy company considering a $2 billion investment in a new upgrader facility that would convert Cold Lake bitumen to Synthetic Crude.
Tasks:
1. Data Analysis & Parameter Estimation
2. Simulate the spread using OUJ model
3. Develop a comprehensive NPV@Risk function with real option embeded
4. Risk-Reward Analysis (VaR, sensitivity analysis)
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FInal Project
