  In this paper we present a new method to compute the first-order
approximation of the price of derivatives on futures in the context of
multiscale stochastic volatility of Fouque \textit{et al.} (2011, CUP). It
provides an alternative method to the singular perturbation technique presented
in Hikspoors and Jaimungal (2008). The main features of our method are twofold:
firstly, it does not rely on any additional hypothesis on the regularity of the
payoff function, and secondly, it allows an effective and straightforward
calibration procedure of the model to implied volatilities. These features were
not achieved in previous works. Moreover, the central argument of our method
could be applied to interest rate derivatives and compound derivatives. The
only pre-requisite of our approach is the first-order approximation of the
underlying derivative. Furthermore, the model proposed here is well-suited for
commodities since it incorporates mean reversion of the spot price and
multiscale stochastic volatility. Indeed, the model was validated by
calibrating it to options on crude-oil futures, and it displays a very good fit
of the implied volatility.
