The XVA of Financial Derivatives: CVA, DVA and FVA Explained (Financial Engineering Explained)
| Author | : | |
| Rating | : | 4.38 (882 Votes) |
| Asin | : | 1137435836 |
| Format Type | : | paperback |
| Number of Pages | : | 218 Pages |
| Publish Date | : | 2014-03-12 |
| Language | : | English |
DESCRIPTION:
Essential for anyoneinterested in modern derivatives valuation.' - Robert Smith, ManagingDirector, Head of XVA, Banco Santander'Dongsheng's new book will be ofgreat interest to anyone serious in getting an understanding of derivativevaluation not only in terms of theory but also in practice. Practitioners have to dealwith overwhelming new developments and requirements in almost all aspects,trading and hedging, pricing and valuation, risk management, regulatorycapital, documentation and legal, and operations
Amazon Customer said This book provides a good introduction to the topic. This book provides a good introduction to the topic, but leaves much to be desired. Firstly, the proof readers didn't catch a lot of the spelling mistakes, grammar erros and typos, which really impedes reading. Secondly, the author seems to have a taste for unnecessarily complex formulas, which make even the simplest concepts like CVA sometimes a bit opaque. O
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.
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 Ch