1. FVA for general instruments
- Author
-
Alexander Antonov, Marco Bianchetti, Ion Mihai, and Alexander Antonov, Marco Bianchetti, Ion Mihai
- Subjects
Funding Value Adjustment, derivative, pricing - 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.
- Published
- 2015