Volatility Smiles in Commodity Futures | SciComp Inc.

Volatility Smiles in Commodity Futures

Qimou Su, Director, Quantitative & Risk Analytics, gave a presentation at Global Derivatives USA in Chicago. The talk, titled " Volatility Smiles in Commodity Futures" featured:

  • Multi-factor commodity model with explicit modeling of volatility smiles
  • Volatility interpolation and calibration of implied marginal distributions
  • Separation of volatility smiles and correlation calibrations
  • Simulation algorithm based on copula techniques to value path-dependent options

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