![Risk Magazine Cutting Edge Research Article | Funding Valuation Adjustment for General Instruments](/sites/default/files/styles/small/public/image/2024-01/Risk_Magazine_Cutting_Edge_Research_Funding_Valuation_Adjustment_General_Instruments_Nov2015.jpg?itok=RRfrC0lU)
Risk Magazine Cutting Edge Research Article | Funding Valuation Adjustment for General Instruments
In this Cutting Edge research article published in the November 2015 Issue of Risk Magazine, Drs Alexandre 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.
The authors presented a generalized pricing framework, where the replication portfolio is split between general, non-linear functions of the portfolio value, funded with different rates, based on Antonov, Bianchetti & Mihai (2013).
In this paper, they also proposed an implementation framework for the calculation of the FVA, which provides a practical and very accurate approximation for portfolios containing both vanilla and exotic instruments. Finally, they presented the numerical results for the FVA of a partially collateralized Bermudan swaption, showcasing the high accuracy of the approximation.
Authors: Alexandre Antonov, Marco Bianchetti, Ion Mihai
In this Cutting Edge research article published in the November 2015 Issue of Risk Magazine, Drs Alexandre 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.
The authors presented a generalized pricing framework, where the replication portfolio is split between general, non-linear functions of the portfolio value, funded with different rates, based on Antonov, Bianchetti & Mihai (2013).
In this paper, they also proposed an implementation framework for the calculation of the FVA, which provides a practical and very accurate approximation for portfolios containing both vanilla and exotic instruments. Finally, they presented the numerical results for the FVA of a partially collateralized Bermudan swaption, showcasing the high accuracy of the approximation.
Authors: Alexandre Antonov, Marco Bianchetti, Ion Mihai
Authors
![Ion Mihai](/sites/default/files/styles/x_small_square_1_1/public/image/2024-01/Ion_Mihai.jpg?h=07a49c3e&itok=M-Z7ChP8)
Ion Mihai, PhD
Ion Mihai is a Quantitative Analyst for Numerix. His focus is on developing solutions around CVA, FVA, and Numerix’s CrossAsset Server platform, as well as working with clients and prospects as a pre-sales quant on bespoke solutions and training. He recently co-authored a paper on Funding Value Adjustment with Drs. Alexander Antonov and Marco Bianchetti. Prior to Numerix, Dr. Mihai started his career as a research scientist in Algebraic Geometry at the Weizmann Institute, Israel, following a PhD in Mathematics from the Fourier Institute in Grenoble. After joining the financial software industry, he worked as a quant developer on LMM and other fixed income models, and performed independent valuation for a wide range of derivatives, including: structured rates, short- and long-dated equity exotics, equity baskets and structured credit products.
![Dr. Alexandre Antonov](/sites/default/files/styles/x_small_square_1_1/public/image/2024-02/Dr.%20Alexandre%20Antonov.jpeg?h=55541bb6&itok=f-aF1kGu)
Dr. Alexandre Antonov
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.
![Marco Bianchetti](/sites/default/files/styles/x_small_square_1_1/public/image/2024-01/Marco_Bianchetti100x100.jpg?h=07a49c3e&itok=tvBjaW-R)
Marco Bianchetti, PhD
Marco Bianchetti joined the Market Risk Management area of Intesa Sanpaolo in 2008. His recent work covers derivative pricing and risk management across all asset classes, with a focus on new product development, model validation, model risk management, funding and counterparty risk, and Quasi Monte Carlo. Previously Dr. Bianchetti worked for 8 years in the front office Financial Engineering area of Banca Caboto (now Banca IMI), developing pricing models and applications for interest rate and inflation trading desks. He is a frequent speaker at international conferences and training sessions in quantitative finance. He holds an MSc in theoretical nuclear physics and a PhD in theoretical condensed matter physics.