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