by Abhishek Malichkar, Ritwika Chattopadhyay, Xinyue Zhang, Zhixuan Ren
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Suggested foundations for volatility models and surfaces and monte carlo and numerical simulation. Specialist prerequisites vary by paper.
Follow diffusion-based models and their assumptions.
Separate conditional volatility from observed returns.
Understand convergence, sampling error and confidence intervals.
Generate reproducible samples and distinguish randomness from model assumptions.
Study a correlated stochastic-variance model.
Interpret prices across strikes and expiries.
Turn a discounted payoff into an estimator.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.