by C Tanggaard, Enno Mammen, Jens Perch Nielsen, Oliver Linton
Continue on SelfMadeQuant
Suggested foundations for rates and fixed income and probability and statistical reasoning. Specialist prerequisites vary by paper.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Read the distributions and expectations used in probabilistic arguments.
Interpret expectations after information is observed.
Build a consistent discount curve.
Study a tractable mean-reverting rate model.
Assess uncertainty rather than treating an estimate as a fact.
Move from conditioning and expected values to timed problems with a defensible solution.