Derivatives Pricing and Credit exposure modelling: Python Prototype of XVA for Practitioners (2.0)

A friend of mine gave me this book as a present. It talks about Monte Carlo method's history, which I didn't know despite using this methods regularly in my work.It talks about London TFL fare price increase during the last decade or two as a way to explain inflation, compounding interest rate. Most astonishingly, the concept of Counterpart Credit Risk is explained in a simple layman situation, even the uncertainty of potential exposure and collateral concept is integrated into this layman example.Well done!

The second edition of this really good book includes additional material on credit spreads and few other topics, making this already excellent book even better. The author explains the technical concepts in good detail and gives specific code examples that implements each step of the calculation/simulation of XVA. Probably the best book on this topic on Amazon, highly recommended.

I learn the change of measure in Univ, like most of the financial maths graduates. I never encountered anyone explain a complex concept in an easy to understand manner and true!Most ppl make things convoluted to preserve their own prestigious. The courage to break down this stereotype and the ability to do it well is absolutely amazing!

I have most of the XVA books on the market due to my day job. Most of them are written by quants like me or academies (like the old me), moat of them are not suitable for beginners or even practitioners in the industry.I have fought several for my team members!

I can highly recommend this book. It introduces a wide range of concepts in a very readable style; in no time at all it has covered from Counter Party Credit Risk to xVA and it is even supplemented by Python code.This is a great book for beginners and also practitioners who have forgotten some details and need to look something up quickly without having to go through pages overloaded with formulas. I enjoyed very much reading the book.

I very much recommend this book to anyone wishing to obtain further insight on what, at face value, are fairly complex topics in finance, but may have limited prior knowledge in this field or may not possess an advanced degree in mathematics. In this regard, Lilan has done an excellent job in decomposing the multi-faceted aspects of derivatives pricing into a very logically organised prototype. At the conclusion of the book, any reader can gain a much clearer understanding of this field- if not a sparked desire to explore this topic further. I will look forward to reading Lilan's future writings on this topic!

Excellent book, highly recommended for xVA practitioners. Ramps up from basic theory to application in the real world. Concepts broken down in very simple terms and examples.