by Juan Andrés Serur, Zura Kakushadze
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Start with the foundations, then use the reading focus to connect the paper to further study.
Use only information available at the simulated decision time.
Separate model selection from the final evaluation.
Build replication and risk-neutral probabilities in a tractable model.
Distinguish pricing probabilities from physical forecasts.
Reconcile signals, executions, positions and P&L.
Include the costs that can erase a paper strategy.
Connect the pricing equation, closed-form value and implied volatility.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.
A related SMQ project on signal timing, fees and an auditable trade ledger.
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