by Ana Venâncio, António Afonso, João Tovar Jalles
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Suggested foundations for probability and statistical reasoning and rates and fixed income. Specialist prerequisites vary by paper.
Read the distributions and expectations used in probabilistic arguments.
Interpret expectations after information is observed.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Assess uncertainty rather than treating an estimate as a fact.
Build a consistent discount curve.
Study a tractable mean-reverting rate model.
Move from conditioning and expected values to timed problems with a defensible solution.