by Keyra Primus
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Suggested foundations for volatility models and surfaces and credit and counterparty risk. Specialist prerequisites vary by paper.
Follow diffusion-based models and their assumptions.
Separate conditional volatility from observed returns.
Separate default probability, loss severity and exposure.
Read conditional default and exposure quantities.
Study a correlated stochastic-variance model.
Interpret prices across strikes and expiries.
Study dependence between defaults.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.