This project explores Jump-diffusion extensions of classical interest rate models like Vasicek and CIR. We develop modern methods to evaluate and calibrate such models and compare their pricing performance for various financial instruments to that of the classical models.
The work done here was presented as our final thesis project for the Master of Financial Engineering degree at the University of California, Berkeley.
The final paper detailing the project, the experiments, and findings can be found under Deliverables/Final Paper.pdf. You will find our code in the Code/ folder with the major result notebooks under the Code/results folder.
We hope that you found our project useful and request that you cite our work if you decide to use it in your research.