Pinned Repositories
black_sholes_python
Black and Sholes model for simulating the stock market in Python
bootstrap-solidity
Simple bootstrap smart contract. Input is an array of numbers and a random seed. The output is an array with a random permutation of inputted elements.
bootstrap_solidity
Simple smart contract for the bootstrap algorithm
correlated_brownian_motion_matlab
n dimensional Brownian motion with an arbitrary mean and Variance Covariance matrix
insurance_javascript
Collection of open-source algorithms written in JavaScript
insurance_matlab
Collection of open-source algorithms written in Matlab
insurance_python
Collection of open-source algorithms written in Python
insurance_solidity
Collection of open-source algorithms written in Solidity.
nelson_siegel_svansson_matlab
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm
Open_Source_Economic_Model
First open-source asset-liability model.
GregorFabjan's Repositories
GregorFabjan/black_sholes_python
Black and Sholes model for simulating the stock market in Python
GregorFabjan/bootstrap-solidity
Simple bootstrap smart contract. Input is an array of numbers and a random seed. The output is an array with a random permutation of inputted elements.
GregorFabjan/bootstrap_solidity
Simple smart contract for the bootstrap algorithm
GregorFabjan/correlated_brownian_motion_matlab
n dimensional Brownian motion with an arbitrary mean and Variance Covariance matrix
GregorFabjan/insurance_javascript
Collection of open-source algorithms written in JavaScript
GregorFabjan/insurance_matlab
Collection of open-source algorithms written in Matlab
GregorFabjan/insurance_python
Collection of open-source algorithms written in Python
GregorFabjan/insurance_solidity
Collection of open-source algorithms written in Solidity.
GregorFabjan/nelson_siegel_svansson_matlab
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm
GregorFabjan/nelson_siegel_svansson_python
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm
GregorFabjan/SBTi-finance-tool
This toolkit helps companies and financial institutions to assess the temperature alignment of current targets, commitments, and investment and lending portfolios, and to use this information to develop targets for official validation by the SBTi. See the wiki for a change log.
GregorFabjan/stationary_bootstrap_matlab
Resampling procedure for weakly dependent stationary observations
GregorFabjan/two_factor_vasicek_python
Simple Two factor Vasicek model of inflation
GregorFabjan/vasicek_one_factor_python
One factor Vasicek model in Python
GregorFabjan/bisection_alpha_python
Simple bisection method that finds the optimal parameter α for the Smith & Wilson algorithm
GregorFabjan/smith_wilson_python
Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript
GregorFabjan/stationary_bootstrap_callibration_python
Automatic calibration of the stationary bootstrap algorithm
GregorFabjan/stationary_bootstrap_python
Resampling procedure for weakly dependent stationary observations
GregorFabjan/Open_Source_Economic_Model
First open-source asset-liability model.
GregorFabjan/assicurazione_python
Tutti gli algoritmi con documentazione italiana, scritti in Python, in un unico posto.
GregorFabjan/black_sholes_italiano_python
Modello di Black-Scholes per simulare il prezzo di un'azione
GregorFabjan/bootstrap_stazionario_italiano_python
GregorFabjan/dothan_one_factor_python
Python implementation of the Dothan short-rate model
GregorFabjan/EIOPA_smith_wilson_test
Example of recalculation of the EIOPA RFR curve.
GregorFabjan/hull_white_properties_python
Mathematical derivation for properties of the Hull White short rate model.
GregorFabjan/Hull_White_stochastic_scenarios_checks_python
Demonstration of a test that checks if a stochastic scenario generator accurately covers the term structure.
GregorFabjan/insurance_jupyter
All project implemented in Jupyter Notebooks by OSM.
GregorFabjan/nelson_siegel_svansson_python_ita
Algoritmo popolare per adattare una curva dei rendimenti a dati osservati.
GregorFabjan/one_factor_hull_white_python
Simple implementation of the one factor Hull-White model of short rates.
GregorFabjan/smith_wilson_italiano_python
Implementazione dell'algoritmo Smith & Wilson per l'interpolazione e/o l'estrapolazione dei tassi di interesse mancanti in Python.