Presented at Global Derivatives Trading and Risk Management | April 2013

This presentation entitled FVA for General Instruments was given by Alexandre Antonov of Numerix at Global Derivatives Trading and Risk Management 2013. He discusses the new Numerix approach to Funding Value Adjustment (FVA) from the Numerix quantitative research team.

The presentation addresses:

  • FVA theory framework
  • Single rate classical models
  • Multi-rate models for general accounts
  • Theoretical and numerical issues
  • Approximation for general instruments (including payments and exercises)
  • Numerical experiments for a Bermudan option: comparison of the exact FVA with its different approximations.

Numerix Presenter Bio:

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. 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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