by Arpit Apoorv, David Soronow, Dylan Rueter, Emmanuel Candès, Igor Zamkovsky, Mykel J. Kochenderfer, Nikhil Devanathan, Stephen Boyd, Trevor Hastie
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Suggested foundations for volatility models and surfaces and portfolio construction. Specialist prerequisites vary by paper.
Follow diffusion-based models and their assumptions.
Separate conditional volatility from observed returns.
Understand the covariance structure of portfolio risk.
Read objectives, constraints and optimality conditions.
Study a correlated stochastic-variance model.
Interpret prices across strikes and expiries.
Construct allocations and examine sensitivity to estimated inputs.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.