by Hampus Engsner
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Suggested foundations for monte carlo and numerical simulation and financial time series. Specialist prerequisites vary by paper.
Understand convergence, sampling error and confidence intervals.
Generate reproducible samples and distinguish randomness from model assumptions.
Check whether a relationship can be estimated consistently over time.
Read the fitted relationship and its residuals.
Turn a discounted payoff into an estimator.
Study dependence and alternatives to independent sampling.
Study long-run relationships without confusing them with correlation.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.