Financial Engineering Course: Lecture 12/14, part 1/3, (Valuation Adjustments- xVA)

[@danielk.1026]

Wow, I'm amazed! Huge thanks to you , Mr. Grzelak! Even though your explanations are far from short and simple delivery, I really enjoyed the high quality of it and Im' looking forward to the rest of the lectures on xVA/CVA.

[@ComputationsInFinance]

Hello Daniel K. Thanks a lot for your feedback! I hope you will enjoy the rest of the series. Best wishes! Lech

[@bryanjp79]

I worked in counterparty risk and this is insightful.

[@ComputationsInFinance]

Thanks for the feedback! Best wishes, Lech

[@plopx1242]

I would like to know more about XVA but in a basic-intermediate level, is there any books where I can find pricing of XVA (specifically in Swaps). I am struggling a little with my course in derivates.

[@robertog7362]

Did u find any?

[@economist84]

John Hull: Risk Management and Financial Institutions has a whole chapter on CVA. Jon Gregory: The XVA Challenge is the go-to book for all things related to xva.

[@xinkule3514]

Thanks Mr.Grzelak! Your videos made me learn a lot. I wonder whether you prepare to make other videos after this series? I have highly interested in some advanced techniques, like local vol, vol calibration, SVI and advanced monte-carlo simulation, but there are not so many materies on these topics. If you have plans on these, I will highly appreciate. Anyway, amazing seriers, thank you very much!

[@ComputationsInFinance]

hello Xinkule, yes, indeed, I'm currently working on the follow-up series on the topics you mentioned. The new series will be focused on volatilities and exotic models like local and stochastic volatility. It will take some time to prepare everything so please don't expect the course too soon. Stay tuned. Best wishes, Lech

[@nunumumu8451]

Great lecture! In slide 11 in the inequality with max shouldn't it be smaller or equal and not strictly smaller? Cheers!