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Concepts

The "explain under pressure" tier. Learn each idea once — open it, listen to a podcast (paste the prompt into NotebookLM), then quiz yourself with recognition / which-is-wrong cards. Numbers stay trivial; the difficulty is knowing the right idea.

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Volatility Surface · 19 concepts

SSVI: SVI extended to the whole surface
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Not started · 27 questions · tutorial
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SABR (Stochastic Alpha Beta Rho): joint diffusion of forward and vol
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Not started · 26 questions · tutorial
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Heston: stochastic volatility's first closed form
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Not started · 26 questions · tutorial
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SVI (Stochastic Volatility Inspired): Gatheral's 5-parameter slice fit
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Not started · 25 questions · tutorial
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Rough Bergomi: when the kernel is fractional
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Not started · 25 questions · tutorial
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Bergomi: forward variance as the modelling primitive
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Fengler: non-parametric arb-free vol surface smoothing via Quadratic Programming (QP)
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Not started · 20 questions · tutorial
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Lee moment formula: how steep can a vol wing be?
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Not started · 20 questions · tutorial
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Static arb-free constraints: butterfly, calendar, no-negative-density
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Not started · 20 questions · tutorial
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Vega-weighted calibration: why fit vols, not prices
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Hurst exponent: measuring roughness of a process
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fBM via Volterra kernel: where roughness comes from
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Bachelier (Normal) Model
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Not started · 20 questions
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Breeden-Litzenberger (Risk-Neutral Density)
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Not started · 20 questions
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Dupire Local Volatility
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Not started · 8 questions
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Jump Diffusion (Merton/Kou/Bates)
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Not started · 8 questions
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Characteristic-Function Pricing (Carr-Madan)
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Local-Stochastic Volatility (LSV)
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Not started · 6 questions
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Vanna-Volga Pricing
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Not started · 5 questions
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Short Rates · 8 concepts

Vasicek short rate: the first closed-form bond price
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Not started · 20 questions · tutorial
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CIR short rate: no negative rates, by construction
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Hull-White: Vasicek that matches today's curve exactly
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LMM-SABR: the LIBOR Market Model with SABR vol for rates
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Mean-reverting SDEs: the OU half-life trick
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Near-Unit-Root & Finite-Span Bias
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Not started · 20 questions
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Yield-Curve PCA (level/slope/curvature)
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Not started · 7 questions
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HJM No-Arbitrage Drift
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Not started · 6 questions
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Stochastic Calculus · 8 concepts

Itô's lemma: where the half-sigma-squared comes from
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Not started · 20 questions · tutorial
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Galton-Watson branching: the criticality threshold
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Not started · 20 questions · tutorial
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Ergodicity and mixing: why your backtest can quietly lie
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Not started · 20 questions · tutorial
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Stationarity and invariant measures
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Kalman Filter & State-Space Models
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Not started · 20 questions
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Gambler's Ruin & Optional Stopping
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Not started · 20 questions
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Feynman-Kac (SDE ↔ PDE)
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Not started · 10 questions
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Girsanov & Change of Measure
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Not started · 10 questions
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Microstructure · 7 concepts

Kyle / Glosten-Milgrom: how informed traders force market makers to widen spreads
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Not started · 20 questions · tutorial
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Hawkes processes: when past events trigger future ones
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Avellaneda-Stoikov Market Making
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Not started · 20 questions
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Skellam Distribution (difference of Poissons)
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Not started · 20 questions
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Almgren-Chriss Optimal Execution
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Not started · 10 questions
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Markout & Spread Decomposition
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Not started · 10 questions
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Lead-Lag & Price Discovery (Hasbrouck)
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Not started · 8 questions
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Exotic Options & Pricing · 2 concepts

Barrier Options (Reiner-Rubinstein)
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Not started · 20 questions
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BGK Continuity Correction (discrete barriers)
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Not started · 20 questions
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Risk, Information & Sizing · 18 concepts

Monte Carlo variance reduction: antithetic and control variates
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Not started · 28 questions · tutorial
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Variance swaps via static replication
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Not started · 21 questions · tutorial
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GARCH: vol clustering and the persistence parameter
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Not started · 21 questions · tutorial
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Cointegration: when two non-stationary series share a stationary spread
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Not started · 21 questions · tutorial
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VaR and Expected Shortfall: why ES is the coherent risk measure
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Fisher information: how well can you know your parameter
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Variance Risk Premium
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Kelly Criterion
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Ridge / Tikhonov & Shrinkage
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Credit Default Intensity (Cox / CreditRisk+)
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Paired Comparison & Factor Alpha/Beta
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Backtest Validity & Overfitting Traps
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Portfolio Optimization (Markowitz)
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Not started · 12 questions
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Variance Swap Replication
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Risk Contribution & Risk Parity
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Copulas & Tail Dependence
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Regime Switching (Markov-switching)
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Robust Stats & Data Drift (MAD/PSI)
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Not started · 6 questions
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Sports & Betting Models · 8 concepts

Markov Scoring Models (point → game → match)
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Not started · 20 questions
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Poisson & Dixon-Coles (goals / runs)
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Elo Ratings
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Bradley-Terry & log5
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Pythagorean Expectation
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Empirical Bayes & Shrinkage
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Not started · 20 questions
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De-vig & Overround
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Forecast Calibration (Brier / log-loss)
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Not started · 20 questions
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Volatility Trading & Short-Dated · 10 concepts

Gamma-Theta Breakeven
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Not started · 10 questions
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Gamma Scalping (RV − IV)
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Realized Vol Estimators (RV / HAR)
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Near-Expiry Greeks (T → 0)
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VRP Term Structure
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VIX Term-Structure Carry (VXX)
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Forward-Variance Gluing (short expiry)
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Short-Dated Skew Asymptotics
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Discrete Hedging Error
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Pin Risk
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Drill (fast practice) · Method tutorials · Home