by Daniel Schwarz, Michael Coulon, Rene A. Carmona
Continue on SelfMadeQuant
Suggested foundations for options and derivatives pricing and stochastic processes and pricing. Specialist prerequisites vary by paper.
Build replication and risk-neutral probabilities in a tractable model.
Distinguish pricing probabilities from physical forecasts.
Understand what it means to condition on current information.
Follow Brownian dynamics and the second-order term in Itô calculus.
Connect the pricing equation, closed-form value and implied volatility.
Translate continuous dynamics into a numerical experiment.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.