Futures Volatility Surface Calibrator
Futures Volatility Surface Calibrator extends the classical log-normal model to incorporate volatility smiles.
Multi-factor lognormal models such as Gabillon and Smith-Schwartz ignore the effects of volatility smiles commonly observed in the options markets.
The Futures Volatility Surface Calibrator utilizes a practical, robust method for extending classical lognormal models to incorporate volatility smiles. This new approach improves the accuracy of derivatives valuations:
- Calibration of volatility term structure and volatility smiles
- Construction of arbitrage-free volatility surfaces and marginal distributions
- Robust and accurate algorithms to construct local volatility surfaces
- Separation of Samuelson effect, volatility smiles and correlations
- Simulation algorithm based on copula techniques to value path-dependent options
Signup for a Futures Volatility Surface Calibrator Test Drive
A free evaluation of the Futures Volatility Surface Calibrator is available to all prospective clients. Request a test drive below.
Why use SciComp Consulting?
- Expertise: Our expert quant/developer staff has years of derivatives experience developing pricing models for financial institutions around the globe.
- Industry standard or customized derivatives solutions: Comprehensive selection of industry standard derivatives pricing models and calibrators, any of which can be customized to meet your exact needs.
- Pricing models tailored to customer requirements: Customers may specify model features such as the underlying dynamics, the market data and formats, and model output, or they may default such decisions to our expert quant/developer staff.
- Performance enhanced pricing models: GPU-enabled or OpenMP-compliant derivatives pricing models.
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