by Apostolos Chalkis, Cyril Bachelard, Elias Tsigaridas, Vissarion Fisikopoulos
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Suggested foundations for asset pricing and factor research and monte carlo and numerical simulation. Specialist prerequisites vary by paper.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Understand convergence, sampling error and confidence intervals.
Generate reproducible samples and distinguish randomness from model assumptions.
Connect factor definitions to portfolio construction.
Distinguish exposure estimation from tests of expected returns.
Turn a discounted payoff into an estimator.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.