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Gregor Fabjan


Qnity Consultants

Last seen: 5 mesi fa Attivo dal 2022

Programming Languages:
Python, MATLAB, Visual Basic
Spoken Languages:
English, Italian

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  • GitHub Submissions Level 3
  • Personal Best Downloads Level 2
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Nelson Siegel Svansson
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm

6 mesi fa | 4 download |

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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...

7 mesi fa | 4 download |

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Stationary Bootstrap
Stationary bootstrap algorithm for resampling weakly-dependent stationary data. Based on the 1994 paper by Politis & Romano.

7 mesi fa | 1 download |

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Smith & Wilson algorithm
Smith & Wilson is a popular algorithm for approximating financial curves such as bond yields or rates.

7 mesi fa | 2 download |

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