英文标题：
《Smile Modelling in Commodity Markets》
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作者：
Emanuele Nastasi, Andrea Pallavicini, Giulio Sartorelli
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最新提交年份：
2020
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英文摘要：
We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward-curve and smile dynamics with a fast calibration to liquid market quotes. A parsimonious parametrization is introduced to deal with the limited number of options quoted in the market. Cleared commodity markets for futures and options are analyzed to include in the pricing framework specific trading clauses and margining procedures. Numerical examples for calibration and pricing are provided for different commodity products.
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中文摘要：
我们提出了一个商品期货衍生品合约的随机局部波动率模型，该模型能够描述远期曲线和微笑动态，并对流动市场报价进行快速校准。引入了一种节省的参数化方法来处理市场上引用的有限数量的选项。对期货和期权的清算商品市场进行分析，以将特定交易条款和保证金程序纳入定价框架。为不同商品产品的校准和定价提供了数值示例。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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