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.
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