XVA

Author : Andrew Green

Hardback

Published : Friday 6 November 2015

ISBN : 9781118556788

Price : €73.71

Description

This new book seeks to navigate the reader through the complexities of CVA, DVA and FVA. Modelling frameworks for these three quantities are discussed in detail including the very latest developments in FVA and OIS discounting. The book covers simple analytic models through to complex multi-asset class Monte Carlo engines.

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