by Michał Balcerek, Michał Wronka
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Suggested foundations for volatility models and surfaces and rates and fixed income. Specialist prerequisites vary by paper.
Follow diffusion-based models and their assumptions.
Separate conditional volatility from observed returns.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Study a correlated stochastic-variance model.
Interpret prices across strikes and expiries.
Build a consistent discount curve.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.