Innovations in Derivatives Markets-Free Book

The proceeding of the conference “Innovations in Derivatives Markets—Fixed Income Modelling, Valuation Adjustments, Risk Management, and Regulation” is available for download here.

The main focus of the conference was the topic of derivatives valuation which is a subject of great importance for the financial industry, specifically the rise of new valuation adjustments commonly referred to as “XVAs”. These XVAs have gained significant attention ever since the financial crisis in 2008 when banks suffered tremendous losses due to counterparty credit risk reflected in derivatives valuation via the credit valuation adjustment, CVA. A debate on the incorporation of funding costs in derivatives valuation starting in 2012 introduced a new letter to the XVA alphabet, the so-called funding valuation adjustment, FVA, together with its specific impact in banks’ profit and loss statements. With the conference, we intended to discuss these topics in the light of market evolutions, regulatory change, and state-of-the-art research in financial mathematics by bringing together renowned scientists, practitioners, and ambitious young researchers.