by Marín, Juan Miguel, Rue, Havard, Veiga, Helena, Zea Bermúdez, Patricia de
Continue on SelfMadeQuant
Suggested foundations for volatility models and surfaces and probability and statistical reasoning. Specialist prerequisites vary by paper.
Follow diffusion-based models and their assumptions.
Separate conditional volatility from observed returns.
Read the distributions and expectations used in probabilistic arguments.
Interpret expectations after information is observed.
Study a correlated stochastic-variance model.
Interpret prices across strikes and expiries.
Assess uncertainty rather than treating an estimate as a fact.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.
Move from conditioning and expected values to timed problems with a defensible solution.