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Palgrave Macmillan

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

  • Book
  • © 2015

Overview

Authors:
  1. Dongsheng Lu
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  • 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

Part of the book series: Financial Engineering Explained (FEX)

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Table of contents (8 chapters)

  1. Front Matter

    Pages i-xiii
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  2. Introduction

    1. Introduction

      • Dongsheng Lu
      Pages 1-2

  3. Introduction to Derivatives Trading

    1. Front Matter

      Pages 3-3
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    2. Overview of Derivatives Trading

      • Dongsheng Lu
      Pages 5-21

    3. Legal Aspects and Operations of Derivatives Trading

      • Dongsheng Lu
      Pages 22-30

  4. Exposition of Various Valuation Adjustments

    1. Front Matter

      Pages 31-33
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    2. CVA Primer and Credit Default

      • Dongsheng Lu
      Pages 34-51

    3. FVA Primer: Derivatives Pricing with Funding

      • Dongsheng Lu
      Pages 52-120

    4. Other Valuation Adjustments

      • Dongsheng Lu
      Pages 121-137

  5. XVA Modeling and Implementation

    1. Front Matter

      Pages 139-139
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    2. CVA and FVA Modeling and Implementation

      • Dongsheng Lu
      Pages 141-181

  6. XVA Risk Management and Hedging

    1. Front Matter

      Pages 183-183
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    2. CVA and FVA Risk Management

      • Dongsheng Lu
      Pages 185-206

  7. Back Matter

    Pages 207-218
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Keywords

About this book

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.

About the author

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.

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