by Claude Martini, Ismail Laachir, Jacopo Corbetta, Pierre Cohort
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Suggested foundations for optimisation and numerical methods and volatility models and surfaces. Specialist prerequisites vary by paper.
Read the linear algebra used to define a numerical problem.
Identify the objective, constraints and conditions for an optimum.
Follow diffusion-based models and their assumptions.
Separate conditional volatility from observed returns.
Understand identifiability and fitted model parameters.
Separate model error from unstable numerical computation.
Study a correlated stochastic-variance model.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.