by Dimitri Sotnikov, Eduardo Abi Jaber, Paul Gassiat
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Suggested foundations for stochastic processes and pricing and volatility models and surfaces. Specialist prerequisites vary by paper.
Understand what it means to condition on current information.
Follow diffusion-based models and their assumptions.
Separate conditional volatility from observed returns.
Connect stochastic dynamics to no-arbitrage prices.
Translate continuous dynamics into a numerical experiment.
Study a correlated stochastic-variance model.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.