Quantitative Analyst

Ito Calculus

Perché: Lets you derive the SDE and the pricing PDE for a new payoff yourself when the desk asks for a product nobody has modelled yet.

Girsanov Theorem & Change of Measure

Perché: Lets you switch to the risk-neutral measure or another numéraire to price a quanto or a forward-starting product that is awkward under the real-world measure.

Black-Scholes Framework

Perché: Lets you decide when Black-Scholes is a fair quoting convention and when its limits, such as the smile, mean you need a richer model.

Binomial & Lattice Models

Perché: Lets you choose a tree or trinomial lattice for early-exercise products and judge whether the number of steps gives a stable price for a daily run.

Yield Curve Construction

Perché: Lets you bootstrap a curve from deposits, futures and swaps with OIS discounting, so every downstream valuation uses discount factors the desk can reconcile.

Interest Rate Models

Perché: Lets you calibrate a short-rate or market model to the swaption surface to value a callable bond, and see when the calibration is fitting noise.

Value-at-Risk Models

Perché: Lets you produce and backtest a daily VaR and expected shortfall, and explain to risk management why the historical and Monte Carlo numbers differ.

Credit Risk Modeling

Perché: Lets you price a CDS from a hazard-rate curve and judge default correlation in a credit portfolio, rather than treating credit names as independent.