Futures Volatility Surface Calibrator

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