Quant Congress Europe: FVA ends ‘Platonic price’, says Brigo
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
The controversy over whether to include a funding valuation adjustment (FVA) when pricing uncollateralised derivatives raged at the Quant Congress Europe conference in London this week – with many disagreeing with the argument put forward by John Hull and Alan White that FVA should be ignored.
Hull and White, both professors at the University of Toronto's Joseph L Rotman School of Management, published an article in Risk's 25th anniversary edition in July arguing that banks shouldn't consider
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