This presentation entitled “Margin Value Adjustment and Adjoint Differentiation” was given by Ping Sun of Numerix at Risk Japan in Tokyo on June 6th.
The presentation addressed:
Ping Sun, Senior Vice President of Financial Engineering, Numerix
Dr. Ping Sun is SVP of Financial Engineering and Head of the Numerix Financial Engineer Team in the U.S. He is also the product manager of Numerix Cross Asset. Dr. Sun works with clients to help solve their derivative pricing and risk management challenges. Dr. Sun’s extensive experience includes publications in academic oriented journals, academic lecturing. During his career at Numerix, he also served as a Consultant and FX/EQ Desk Quant for the Lehman Brothers estate. Dr. Sun was a postdoctoral fellow at Rutgers University, and he earned a doctorate degree in Physics from City College of New York.
Complete the form to the right to download this slide deck from Ping Sun's June 2018 Risk Japan presentation.
Complete the form below to download this slide deck from Ping Sun's June 2018 Risk Japan presentation.
MVA: Rationale and Practical Calculations as Margining Rules Tighten