Computing the funding valuation adjustment (FVA) is hard, as it requires the numerical solution of generally non-linear partial differential equations . In this paper, Alexander 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.

FVA for general instruments / Alexander Antonov, Marco Bianchetti, Ion Mihai. - In: RISK. - ISSN 0952-8776. - STAMPA. - 11:(2015), pp. 1-6.

FVA for general instruments

Marco Bianchetti
Secondo
;
2015

Abstract

Computing the funding valuation adjustment (FVA) is hard, as it requires the numerical solution of generally non-linear partial differential equations . In this paper, Alexander 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.
2015
FVA for general instruments / Alexander Antonov, Marco Bianchetti, Ion Mihai. - In: RISK. - ISSN 0952-8776. - STAMPA. - 11:(2015), pp. 1-6.
Alexander Antonov, Marco Bianchetti, Ion Mihai
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/841514
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