Gregor Fabjan
Qnity Consultants
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Python, MATLAB, Visual Basic
Spoken Languages:
English, Italian
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Submitted
n-dimensional correlated Brownian motions
Generate a matrix of increments from a multidimensional Brownian motion with a given vector of means and a Variance-Covariance m...
1 year ago | 2 downloads |
Submitted
Smith & Wilson algorithm
Smith & Wilson is a popular algorithm for approximating financial curves such as bond yields or rates.
1 year ago | 3 downloads |
Submitted
Stationary Bootstrap
Stationary bootstrap algorithm for resampling weakly-dependent stationary data. Based on the 1994 paper by Politis & Romano.
1 year ago | 5 downloads |
Submitted
Nelson Siegel Svansson
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm
1 year ago | 2 downloads |
