Multi-factor lognormal models such as Gabillon and Smith-Schwartz ignore the effects of volatility smiles commonly observed in the options markets. We present a practical, robust method for extending classical lognormal models to incorporate volatility smiles.
Presenter: Dr. Qimou Su, Director, Quantitative and Risk Analytics
Host: Dean Tallam, SciComp Sales Representative
Duration: 40 minutes
Why should you watch this webinar? Volatility smile calibration and better volatility surface construction 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
Who should watch this webinar?
- Quantitative Model Developers
- Financial Engineers
- Risk Managers
- Portfolio Managers