Guillermo's Projects
📦 Python library for Stochastic Processes Simulation and Visualisation
(Python, R, C) Fast approximations for the CDF of multivariate normal distributions
Automated Machine Learning scorecard models
Portfolio credit risk modeling
Logistic regression with bound and linear constraints. L1, L2 and Elastic-Net regularization.
Fast Bayesian A/B and Multivariate testing.
Open Source Risk Engine
Fast and vectorizable algorithms for searching in a vector of sorted floating point numbers
A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.
Books
Experimental first-order solvers for linear and quadratic programming.
Reddit clone in flask + python + nginx + https. View site:
Numerical library for fast and accurate computation of special functions
Linear optimization software
Original high performance simplex solver of Qi Huangfu
Lerch transcendent implementation for arbitrary-precision
Python library for arbitrary-precision floating-point arithmetic
Nearest correlation matrix algorithms
Optimal binning: monotonic binning with constraints. Support batch & stream optimal binning. Scorecard modelling and counterfactual explanations.
A C++ platform to perform parallel computations of optimisation tasks (global and local) via the asynchronous generalized island model.
Generate stochastic processes using Python. Unfortunately not maintained any longer =(
The QuantLib C++ library
Robust piecewise regression
Fast conic optimization in C
Spectral projected gradient method
Interest Rate Swaps – Theory, Pricing and Practice