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

1. Auflage 2015
ISBN: 978-1-137-43583-5
Verlag: Palgrave MacMillan UK

Buch, Englisch, 218 Seiten, Format (B × H): 155 mm x 231 mm, Gewicht: 408 g

Reihe: Financial Engineering Explained

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.

Zielgruppe

Research

Autoren/Hrsg.

Lu, Dongsheng

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft

Über Autor(innen)

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.