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Hi there 👋

Hello, I'm Guillermo Navas-Palencia, a quant and numerical optimizer based in Madrid, Spain.

Guillermo's GitHub stats

Interests 📚

  • Python and C++
  • Quantitative Finance
  • Mathematical optimization

Jobs 🔥

  • Credit risk modelling
  • Credit investment
  • Structured Finance
  • Credit derivatives
  • Fixed-income securities

Guillermo's Projects

aleatory icon aleatory

📦 Python library for Stochastic Processes Simulation and Visualisation

approxcdf icon approxcdf

(Python, R, C) Fast approximations for the CDF of multivariate normal distributions

clogistic icon clogistic

Logistic regression with bound and linear constraints. L1, L2 and Elastic-Net regularization.

cprior icon cprior

Fast Bayesian A/B and Multivariate testing.

fastbinarysearch icon fastbinarysearch

Fast and vectorizable algorithms for searching in a vector of sorted floating point numbers

financepy icon 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 icon firstorderlp.jl

Experimental first-order solvers for linear and quadratic programming.

flask_reddit icon flask_reddit

Reddit clone in flask + python + nginx + https. View site:

gnstlib icon gnstlib

Numerical library for fast and accurate computation of special functions

highs icon highs

Linear optimization software

hsol icon hsol

Original high performance simplex solver of Qi Huangfu

lerch icon lerch

Lerch transcendent implementation for arbitrary-precision

mpmath icon mpmath

Python library for arbitrary-precision floating-point arithmetic

optbinning icon optbinning

Optimal binning: monotonic binning with constraints. Support batch & stream optimal binning. Scorecard modelling and counterfactual explanations.

pagmo2 icon pagmo2

A C++ platform to perform parallel computations of optimisation tasks (global and local) via the asynchronous generalized island model.

pyprocess icon pyprocess

Generate stochastic processes using Python. Unfortunately not maintained any longer =(

ropwr icon ropwr

Robust piecewise regression

scs icon scs

Fast conic optimization in C

spgm icon spgm

Spectral projected gradient method

swapsbook icon swapsbook

Interest Rate Swaps – Theory, Pricing and Practice

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