Simple implementation of the one factor Hull-White model of short rates.
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Mar 24, 2024 - Python
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short-rates
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Mathematical derivation for properties of the Hull White short rate model.
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Jul 22, 2023 - Jupyter Notebook
The abstract Heath-Jarrow-Morton model: Calibration and forecasting the US daily Treasury yield curve rates
time-series-analysis time-series-forecasting term-structure-models financial-data-analysis vasicek-model short-rates heath-jarrow-morton us-treasuries
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Nov 28, 2020 - MATLAB
TimeGAN model for simulation of European short rates. MSc Thesis Quantitative Finance at Erasmus University Rotterdam
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Oct 28, 2020 - Python
Simulação da taxa de juros com o modelo CIR (Euler–Maruyama e Milstein), Monte Carlo para precificação de bonds e construção da curva a termo.
python simulation monte-carlo quantitative-finance sde interest-rates yield-curve cir bond-pricing stochastic-calculus euler-maruyama short-rates milstein term-structure
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Nov 17, 2025 - Jupyter Notebook
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