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

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

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.

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.

This project is an interactive quantitative finance dashboard that models interest rate term structures using the Vasicek Short-Rate Model.

📈 Forecast U.S. Treasury yield curves with a robust machine learning approach, enhancing accuracy and decision-making in finance.