by Abraham Atsiwo, Andrey Sarantsev
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Suggested foundations for asset pricing and factor research and volatility models and surfaces. Specialist prerequisites vary by paper.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Follow diffusion-based models and their assumptions.
Separate conditional volatility from observed returns.
Connect factor definitions to portfolio construction.
Distinguish exposure estimation from tests of expected returns.
Study a correlated stochastic-variance model.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.