by Claudio Fontana, Francesco Rotondi
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Suggested foundations for rates and fixed income and optimisation and numerical methods. Specialist prerequisites vary by paper.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Read the linear algebra used to define a numerical problem.
Identify the objective, constraints and conditions for an optimum.
Build a consistent discount curve.
Study a tractable mean-reverting rate model.
Understand identifiability and fitted model parameters.