So the entirety of the game, you spend being stalked by Baldur for whatever reason. Through lore and world building, you discover he's the son of Odin, and since Odin is an evil, sadistic fuck who has his eyes on you throughout the game via his Raven's, and Baldur only appearing after your wife dies and you cremate her, and her wishes to have her ashes scattered from the highest peak in all the realms, you discover you have to go to Jotunheim, the land of the Giants that Odin has desperately tried to reach, but was foiled by Tyr.
Eventually you discover Freya is a God as well, and the mother of Baldur. Eventually she tries to make amends with Baldur, who wants nothing to do with it. You manage to remove his invulnerability, and insists on fighting you. She interferes, so you stand aside where Baldur goes to kill her. She wants to die, and can't understand Baldur is just going to then turn to Kratos and fight him again, so Kratos snaps his neck. Freya goes bonkers, vows to destroy you as she carries his corpse off, you go to Jotunheim, toss the ashes, credits roll. Absolutely nothing with Odin, doesn't even really go into why Baldur is then stalking you, doesn't really go into why the Valkyries are corrupted. Just a huge and total letdown.