by Jean Jacod, Neil Shephard, Ole E. Barndorff-Nielsen, Svend E. Graversen
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Suggested foundations for stochastic processes and pricing. Specialist prerequisites vary by paper.
Understand what it means to condition on current information.
Follow Brownian dynamics and the second-order term in Itô calculus.
Connect stochastic dynamics to no-arbitrage prices.
Translate continuous dynamics into a numerical experiment.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.