Webinar: Construction of Volatility Surface for Commodity Futures

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
  • Traders

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