vasicek-model

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.

The abstract Heath-Jarrow-Morton model: Calibration and forecasting the US daily Treasury yield curve rates

Fetch historical Euribor data, initialize stochastic prediction models and forecast interest rates with Monte Carlo simulations.

Excel-based quantitative finance models: Brownian motion simulation, Vasicek short-rate Monte Carlo, and a full Basel SA-CCR counterparty exposure engine.

A production-grade stochastic interest rate modeling engine that calibrates the Vasicek model to historical SOFR data using OLS regression and Euler-Maruyama simulation.

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.

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.

Project at ENPC

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.