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XVA: Theory and Practice for the FVA

 
00:00

Theory and Practice for the FVA: General Instruments and General Models

Presenter: Alexander Antonov: Senior Vice President, Quantitative Research, Numerix

Course Running Time: 5 Hours


xVA general framework: from replications to adjustments Section 1.1 (Running Time: 32:21)

​xVA general framework: from replications to adjustments Section 1.2 (Running Time: 44:56)


​xVA general framework: from replications to adjustments Section 1.3 (Running Time: 43:19)


​xVA general framework: from replications to adjustments Section 1.4 (Running Time: 48:09)


Collateral in Different Currencies Section 1.1 (Running Time: 41:32)


Collateral in Different Currencies Section 1.2 (Running Time: 44:53)


Approximation for General Instruments (including arbitrary callable instruments) (Running Time: 35.46)
Video Lectures:
 
xVA general framework: from replications to adjustments Section 1.1 (Running Time: 32:21)
  • Literature
  • Introduction

xVA general framework: from replications to adjustments Section 1.2 (Running Time: 44:56)

  • Classical replication/hedging (before the crisis)
  • Modern replication/hedging (after the crisis)

xVA general framework: from replications to adjustments Section 1.3 (Running Time: 43:19)

  • Pricing equations
  • Case studies
  • Replication
  • Pricing PDE

xVA general framework: from replications to adjustments Section 1.4 (Running Time: 48:09)

  • Adjustments
  • Comparison
  • How to avoid double counting and other traps?

Collateral in Different Currencies Section 1.1 (Running Time: 41:32)

  • Foreign currency collateral: pricing PDE via modified replication procedure
  • Efficient discount factor for the currency choice option

Collateral in Different Currencies Section 1.2 (Running Time: 44:53)

  • Analytical methods for the efficient discount factor calculation (two currency case)
  • Numerical experiments

Approximation for General Instruments (including arbitrary callable instruments) (Running Time: 35.46)

  • Main idea
  • Theoretical and Numerical Issues
  • Numerical experiments for a Bermudan option: comparison of the exact FVA with its different approximations
Summary:

1. General multi-currency setup

2. FVA theory framework

  • Pricing PDE and its solution by replication
  • Probability measure and numeraire
  • Generalization

2. Collateral in different currencies

  • Replication procedure
  • Efficient discount factor for the currency choice option
  • Analytical methods for the efficient discount factor calculation (two currency case)
  • Numerical experiments

3. Approximation for general instruments (including arbitrary callable instruments)

  • Main idea
  • Theoretical and Numerical Issues
  • Numerical experiments for a Bermudan option: comparison of the exact FVA with its different approximations

Topic

Fixed Income

Published date

7 March 2014

Price

£99.00

Presenter Bio

Alexander Antonov

Dr. Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997 and joined Numerix in 1998, where he currently works as a Senior Vice President of Quantitative Research. His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA/FVA. Dr. Antonov is a published author for multiple publications in mathematical finance, including RISK magazine and a frequent speaker at financial conferences.

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