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
Watch the Webinar: Construction of Volatility Surface for Commodity Futures