by Paolo Spezzati, Pietro Rossi, Riccardo Tedeschi
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Suggested foundations for rates and fixed income and options and derivatives pricing. Specialist prerequisites vary by paper.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Build replication and risk-neutral probabilities in a tractable model.
Distinguish pricing probabilities from physical forecasts.
Build a consistent discount curve.
Study a tractable mean-reverting rate model.
Connect the pricing equation, closed-form value and implied volatility.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.