Commodity volatility, skew and inverse leverage effect

Krzysztof Wolyniec on leverage effects and volatility in commodity markets

balancing-stones2

It is well known that energy commodities volatility exhibits significant
variation. This is not new in the investment world, as pretty much all
financial markets show a similar, if less extreme, pattern. Heston or
SABR stochastic volatility models have been proposed in order to
properly represent this behaviour. They are used mainly to value and
risk-manage structured transactions consistent with the quoted volatility
markets. In simple terms, they can consistently fit volatility smiles and allow
effec

To continue reading...

You must be signed in to use this feature.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: