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

A free evaluation of the Futures Volatility Surface Calibrator is available to all prospective clients. Request a test drive below.

Signup for a Futures Volatility Surface Calibrator Test Drive Test drive

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