Serving the Quantitative Finance Community

 
User avatar
FinancialAlex
Topic Author
Posts: 1
Joined: April 11th, 2005, 10:34 pm

Quanto adjusted futures curve in Commodities

February 17th, 2013, 4:03 pm

While one can do it in a straightforward way, using change-of numeraire technique, I was wondering if there are any finer points that may be missed or not fully accounted, besides items such as Quanto Adjustments in the Presence of Stochastic Volatility (see article by Giese) or Quanto adjustment to take into account the skew (see article by Jackel)
Last edited by FinancialAlex on February 16th, 2013, 11:00 pm, edited 1 time in total.
 
User avatar
ZhuLiAn
Posts: 0
Joined: June 9th, 2011, 7:21 am

Quanto adjusted futures curve in Commodities

February 18th, 2013, 11:58 am

What exactly do you want to do?
 
User avatar
FinancialAlex
Topic Author
Posts: 1
Joined: April 11th, 2005, 10:34 pm

Quanto adjusted futures curve in Commodities

February 18th, 2013, 1:14 pm

Essentially I want to price Commodity quanto swaps and quanto options through a quanto-adjusted futures curve, rather than through a specialized quanto pricer. And I was wondering if there are any finer points to especially have in mind, based on practical experience of Willmott Technical Forum participants
 
User avatar
ZhuLiAn
Posts: 0
Joined: June 9th, 2011, 7:21 am

Quanto adjusted futures curve in Commodities

February 18th, 2013, 1:56 pm

The first question (see Pantz) would be: how accurate is your quanto correlation? Then skew and stoch vol might be considered.
Last edited by ZhuLiAn on February 17th, 2013, 11:00 pm, edited 1 time in total.