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SSRNDerivatives & Volatility

Energy Market Calibration

The article proposes a model to align historical correlations of futures contracts with implied volatility smiles using two specific mathematical models.

Featured in No. 83 on 23 Jan 2025 · 11 days after release

Released
12 Jan 2025
First featured
No. 83 · 23 Jan 2025
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
233
Identifier
SSRN 5094585

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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