XVA of Financial Derivatives: CVA, DVA and FVA Explained

Häftad, Engelska, 2019

Av Dongsheng Lu

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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.

Produktinformation

Utgivningsdatum2019-03-31
Mått155 x 235 x 13 mm
Vikt408 g
FormatHäftad
SpråkEngelska
SerieFinancial Engineering Explained
Antal sidor218
FörlagPalgrave Macmillan
ISBN9781349953820

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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.