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Gregor Fabjan


Qnity Consultants

Last seen: 3 months ago Active since 2021

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

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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...

3 months ago | 3 downloads |

Submitted


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

6 months ago | 6 downloads |

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Submitted


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

6 months ago | 3 downloads |

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