Ornstein-Uhlenbeck mean-reverting stochastic process with exact transition distributions and Vasicek calibration
Ornstein-Uhlenbeck mean-reverting stochastic process with exact transition distributions and Vasicek calibration
The abstract Heath-Jarrow-Morton model: Calibration and forecasting the US daily Treasury yield curve rates
Dynamic Term Structure Modeling & Arbitrage-Free Interest Rate Simulation: A research-level fixed income quant project implementing a full interest rate modeling pipeline from raw Treasury data to derivative pricing and risk analysis.
This project is an interactive quantitative finance dashboard that models interest rate term structures using the Vasicek Short-Rate Model.
End-to-End Python implementation of consistent intergenerational pension optimization from Alonso-Garcia et al. (2026). Solves optimal PAYG pension policy via forward CRRA utilities and closed-form HJB feedback laws. Features a 10,000-path Euler-Maruyama Monte Carlo engine, Cholesky-correlated 4D Brownian shocks, and demographic stress-testing.
Fetch historical Euribor data, initialize stochastic prediction models and forecast interest rates with Monte Carlo simulations.
A production-grade stochastic interest rate modeling engine that calibrates the Vasicek model to historical SOFR data using OLS regression and Euler-Maruyama simulation.
Excel-based quantitative finance models: Brownian motion simulation, Vasicek short-rate Monte Carlo, and a full Basel SA-CCR counterparty exposure engine.
Project at ENPC
This project implements the Vasicek Interest Rate Model using Australian market data. We employ Excel Solver to execute Maximum Likelihood Estimation (MLE), determining the three model parameters (α, β, and σ r ). Finally, we calculate and visualize the theoretical yield curve.
Vasicek mean-reverting short-rate model calibrated to real RBI T-bill data, non-recombining/recombining interest rate tree, 10,000-path Monte Carlo simulation, and closed-form validation.
📈 Forecast U.S. Treasury yield curves with a robust machine learning approach, enhancing accuracy and decision-making in finance.
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