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