In this Cutting Edge research article published in the November 2015 Issue of Risk Magazine, Drs Alexandre Antonov, Marco Bianchetti and Ion Mihai develop a universal and efficient approach to numerical FVA calculation for portfolios of general instruments with multiple stochastic assets and funding sources.

The authors presented a generalized pricing framework, where the replication portfolio is split between general, non-linear functions of the portfolio value, funded with different rates, based on Antonov, Bianchetti & Mihai (2013).

In this paper, they also proposed an implementation framework for the calculation of the FVA, which provides a practical and very accurate approximation for portfolios containing both vanilla and exotic instruments. Finally, they presented the numerical results for the FVA of a partially collateralized Bermudan swaption, showcasing the high accuracy of the approximation.

Authors: Alexandre Antonov, Marco Bianchetti, Ion Mihai

Dr. Alexandre Antonov, Senior Vice President, Quantitative Research

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 and FVA. Dr. Antonov is a published author for multiple publications in mathematical finance, including Risk magazine and a frequent speaker at financial conferences.

 

Download Numerix Research Paper

Complete the form below to download this complimentary research paper.

Select Form: 

Form #5: Research

Keep me informed of future research from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
conference

QuantMinds International 2023

on-demand webinar

Risk.net On-Demand Webinar | XVAs and Counterparty Credit Risk for an Energy Market in Crisis

on-demand webinar

Machine Learning for Market Data Anomaly Detection & Gap Filling

on-demand webinar

On-Demand Solution Webinar | Turbo-charging XVA Greek Calculations

conference

QuantMinds International 2022

video blog

Numerix: Pushing Boundaries to Create Breakthrough Technology

white paper

Article | A Few Insights into Crypto Risk

white paper

Checklist | Where are you in your SEC Rule 18f-4 implementation?

white paper

Article | Archegos Collapse Raises Red Flags About Risk Management Systems—and Underscores Need for...

conference

QuantMinds International 2021

conference

QuantMinds in Focus

next 2020 session video

Numerix Quantitative Research and Development Roundtable Discussion