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

Implementation of the Euler-Maruyama method for solving stochastic differential equations

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.

This software solves a coupled stochastic differential Equation to simuate the timing noise in neutron stars