English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

We introduce a local volatility model for the valuation of options oncommodity futures by using European vanilla option prices. The correspondingcalibration problem is addressed within an online framework, allowing the useof multiple price surfaces. Since uncertainty in the observation of theunderlying future prices translates to uncertainty in data locations, wepropose a model-based adjustment of such prices that improves reconstructionsand smile adherence. In order to tackle the ill-posedness of the calibrationproblem we incorporate a priori information through a judiciously designedTikhonov-type regularization. Extensive empirical tests with market as well assynthetic data are used to demonstrate the effectiveness of the methodology andalgorithms.

Local Volatility Models in Commodity Markets and Online Calibration