Advertisement

© 2015

The XVA of Financial Derivatives: CVA, DVA and FVA Explained

  • Authors
  • Written by authors with hands on knowledge of researching, implementing and teaching in this area

  • XVA is all anyone is talking about in the derivatives world

  • As a topic, it is still being researched and developed, but implementation guidance is needed now

  • A technical but succinct guide to the topic for traders, sales people, risk managers and structurers

Book

Part of the Financial Engineering Explained book series (FEX)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Introduction

    1. Dongsheng Lu
      Pages 1-2
  3. Introduction to Derivatives Trading

    1. Front Matter
      Pages 3-3
    2. Dongsheng Lu
      Pages 5-21
  4. Exposition of Various Valuation Adjustments

    1. Front Matter
      Pages 31-33
    2. Dongsheng Lu
      Pages 34-51
    3. Dongsheng Lu
      Pages 121-137
  5. XVA Modeling and Implementation

    1. Front Matter
      Pages 139-139
    2. Dongsheng Lu
      Pages 141-181
  6. XVA Risk Management and Hedging

    1. Front Matter
      Pages 183-183
    2. Dongsheng Lu
      Pages 185-206
  7. Back Matter
    Pages 207-218

About this book

Introduction

This latest addition to the Financial Engineering Explained series focuses on the new standards for derivatives valuation, namely, pricing and risk management taking into account counterparty risk, and the XVA's Credit, Funding and Debt value adjustments.

Keywords

derivatives Hedging Rating Risk Management XVA

About the authors

Dongsheng Lu is Managing Director and Head of Quantitative Research at BNY Mellon's Derivatives Trading Unit. His group is responsible for developing derivatives trading/pricing models and building trading/risk management infrastructure for interest rate, equity and foreign exchange derivatives trading business. Before joining BNY Mellon in 1998, he did two years of postdoctoral research at University of Pennsylvania on quantum mechanical calculations and molecular simulations of biological enzymes. He holds a PhD in Theoretical Chemistry from the Ohio State University and a B.S. degree from University of Science and Technology of China.

Bibliographic information

Industry Sectors
Engineering
Finance, Business & Banking