Events

A Quantitative Look at FVA - Theory and Implementation

Created by Cristin Riffle (See other events)
  • Feb 28, 2013 from 11:00 to 12:00
  • Location: EST
  • Latest Activity: Oct 12, 2020
The practice of incorporating Funding Valuation Adjustment (FVA) into derivative prices has been hotly debated since the practice began in 2008. Despite the debate, many quantitative practitioners wish to incorporate FVA into their derivative valuations – but developing and implementing an accurate FVA framework can present significant theoretical and practical challenges.
 
Join Numerix on Thursday, February 28th at 10:00 am EST for a quantitative discussion with
Dr. Alexandre Antonov, Senior VP of Quantitative Research at Numerix, as he reviews current FVA theory and outlines a new universal FVA framework.
  • FVA theory framework
    • Single rate classical models
    • Multi-rate models for general accounts
  • Theoretical and numerical issues
  • Approximation
  • Implementation
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