The XVA of Financial Derivatives: CVA, DVA and FVA Explained
ISBN:
9781137435835
Auflage:
1st ed. 2015
Verlag:
Palgrave Macmillan UK
Land des Verlags:
Vereinigtes Königreich
Erscheinungsdatum:
10.11.2015
Reihe:
Financial Engineering Explained
Format:
Hardcover
Seitenanzahl:
218
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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.
Schlagwörter
Biografische Anmerkung
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.
