The XVA of Financial Derivatives: CVA, DVA and FVA Explained
Lu, Dongsheng
- 出版商: Palgrave MacMillan
- 出版日期: 2015-11-10
- 售價: $3,320
- 貴賓價: 9.5 折 $3,154
- 語言: 英文
- 頁數: 218
- 裝訂: Hardcover - also called cloth, retail trade, or trade
- ISBN: 1137435836
- ISBN-13: 9781137435835
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商品描述
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.
作者簡介
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.
