Gregor

Black and Sholes model for simulating the stock market in Python

Modello di Black-Scholes per simulare il prezzo di un'azione

n dimensional Brownian motion with an arbitrary mean and Variance Covariance matrix

First open-source asset-liability model.

Algoritmo popolare per adattare una curva dei rendimenti a dati osservati.

Mathematical derivation for properties of the Hull White short rate model.

Python implementation of the Dothan short-rate model

Implementazione dell'algoritmo Smith & Wilson per l'interpolazione e/o l'estrapolazione dei tassi di interesse mancanti in Python.

No description provided.

Tutti gli algoritmi con documentazione italiana, scritti in Python, in un unico posto.

Example of recalculation of the EIOPA RFR curve.

Simple implementation of the one factor Hull-White model of short rates.

Demonstration of a test that checks if a stochastic scenario generator accurately covers the term structure.

All project implemented in Jupyter Notebooks by OSM.

Resampling procedure for weakly dependent stationary observations

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.

Simple smart contract for the bootstrap algorithm

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

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

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.

Collection of open-source algorithms written in Solidity.

Collection of open-source algorithms written in JavaScript

One factor Vasicek model in Python

Simple Two factor Vasicek model of inflation

Collection of open-source algorithms written in Python

Collection of open-source algorithms written in Matlab

Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript

Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript. Running on an AWS instance

Simple binomial tree pricing algorithm to calculate the price of an European call or put option

Simple bisection method that finds the optimal parameter α for the Smith & Wilson algorithm