Guillermo's repositories
optbinning
Optimal binning: monotonic binning with constraints. Support batch & stream optimal binning. Scorecard modelling and counterfactual explanations.
normal-inverse-gaussian
Implementation of the Normal Inverse Gaussian (NIG) distribution
aleatory
📦 Python library for Stochastic Processes Simulation and Visualisation
approxcdf
(Python, R, C) Fast approximations for the CDF of multivariate normal distributions
autoscorecard
Automated Machine Learning scorecard models
Engine
Open Source Risk Engine
FastBinarySearch
Fast and vectorizable algorithms for searching in a vector of sorted floating point numbers
ccruncher
Portfolio credit risk modeling
FinancePy
A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.
FirstOrderLp.jl
Experimental first-order solvers for linear and quadratic programming.
HiGHS
Linear optimization software
hsol
Original high performance simplex solver of Qi Huangfu
pagmo2
A C++ platform to perform parallel computations of optimisation tasks (global and local) via the asynchronous generalized island model.
PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
pymle
Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
scs
Fast conic optimization in C
SwapsBook
Interest Rate Swaps – Theory, Pricing and Practice
yuck
Yuck is a local-search constraint solver with FlatZinc interface