Heath–Jarrow–Morton meet lifted Heston in energy markets for joint historical and implied calibration
针对能源市场中期货历史相关性与期权隐含波动率微笑的联合校准难题，提出一个多因子HJM模型，结合提升Heston随机波动率，用分步校准方法分别匹配相关性和波动率曲面。对衍生品定价与风险管理的从业者有参考价值。
In energy markets, joint historical and implied calibration is of paramount importance for practitioners, yet notoriously challenging due to the need to align historical correlations of futures contracts with implied volatility smiles from the option market. We address this crucial problem with a multiplicative multi-factor Heath-Jarrow-Morton (HJM) model for forward curves, combined with a stochastic volatility factor coming from the lifted Heston model. We develop a sequential fast calibration procedure leveraging the Kemna-Vorst approximation of futures contracts: (i) historical correlations and the Variance Swap (VS) volatility term structure are captured through Level, Slope, and Curvature factors, (ii) the VS volatility term structure can then be corrected for a  perfect match via a fixed-point algorithm, (iii) implied volatility smiles are calibrated using Fourier-based techniques. The main advantage of the proposed calibration framework is the decoupling of the calibration steps: each step tackles a simpler calibration subproblem and guaranties that the previously optimized parameters remain unchanged. Our model displays remarkable joint historical and implied calibration fits on the German power market and enables realistic interpolation within the implied volatility hypercube.