by Cathy Yi-Hsuan Chen, Jan Vecer, Jozef Barunik
Continue on SelfMadeQuant
Suggested foundations for volatility models and surfaces and text and language models in finance. Specialist prerequisites vary by paper.
Follow diffusion-based models and their assumptions.
Separate conditional volatility from observed returns.
Understand how text is converted into numerical inputs.
Check whether labels measure the financial construct of interest.
Study a correlated stochastic-variance model.
Interpret prices across strikes and expiries.
Test whether a text-derived signal survives an honest financial evaluation.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.