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Gregor Fabjan


Qnity Consultants

Last seen: 1 day ago Active since 2023

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

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  • Personal Best Downloads Level 3
  • 5-Star Galaxy Level 1
  • GitHub Submissions Level 3
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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...

9 months ago | 7 downloads |

Submitted


Nelson Siegel Svansson
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm

9 months ago | 9 downloads |

Submitted


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

9 months ago | 13 downloads |

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Submitted


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

9 months ago | 11 downloads |

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