OCTOBER 2018 NEWSLETTER
With around $350 trillion worth of financial assets tied Derivatives Pricing | New MVA Research to Be Featured at NEXT 2018! In this short video, Andy McClelland provides a sneak peek of his new MVA research that will presented at NEXT 2018. He will identify how initial margin requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank. Quantitative Research │ Faster Technique for SIMM-MVA Unveiled Calculating MVA for a single exotic product is slow, requiring hours of work. The Numerix quantitative team looks to leverage algorithmic differentiation to
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