by Anna P. Kwossek, David J. Prömel, Mihriban Ceylan
Continue on SelfMadeQuant
Suggested foundations for stochastic processes and pricing. Specialist prerequisites vary by paper.
Understand what it means to condition on current information.
Follow Brownian dynamics and the second-order term in Itô calculus.
Connect stochastic dynamics to no-arbitrage prices.
Translate continuous dynamics into a numerical experiment.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.