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Veröffentlichungsdatum
Anzahl der Publikationen: 27
2021
Fries, Christian P.
(2021):
Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions).
In: International Journal of Computer Mathematics, Bd. 99, Nr. 2: S. 204-226
2019
Fries, Christian P.
(2019):
Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations.
In: Quantitative Finance, Bd. 19, Nr. 6: S. 1043-1059
2017
Fries, Christian P.
(2017):
Stochastic Automatic Differentiation: Automatic Differentiation for Monte-Carlo Simulations.
In: SSRN Electronic Journal
Fries, Christian P.; Nigbur, Tobias und Seeger, Norman
(2017):
Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates.
In: Journal of Empirical Finance, Bd. 42: S. 175-198
2014
Fries, Christian P. und Lichtner, Mark
(2014):
Collateralization and Funding Valuation Adjustments (FVA) for Total Return Swaps.
SSRN
2013
Gope, Pijush und Fries, Christian P.
(2013):
Extension of Normed Call Prices for Negative Strikes and Forwards.
SSRN
2012
Fries, Christian P.
(2012):
Curves: A Primer - Definition, Calibration and Application of Rate Curves.
In: SSRN Electronic Journal
Fries, Christian P.; Nigbur, Tobias und Seeger, Norman
(2012):
A Generalized View on Historical Simulation and Extensions (Application to VaR in Times of Negative Interest Rates).
SSRN
2011
Gope, Pijush und Fries, Christian P.
(2011):
Volatility Surface Interpolation on Probability Space using Normed Call Prices.
SSRN
Fries, Christian P. und Joshi, Mark S.
(2011):
Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products.
In: International Journal of Theoretical and Applied Finance, Bd. 14, Nr. 2: S. 197-219
2010
Fries, Christian P.
(2010):
Discounting Revisited: Valuation Under Funding, Counterparty Risk and Collateralization.
SSRN Electronic Journal
Fries, Christian P. und Kienitz, Joerg
(2010):
Monte-Carlo Simulation with Boundary Conditions (with Applications to Stress Testing, CEV and Variance-Gamma Simulation).
SSRN
Fries, Christian P. und Kampen, Joerg
(2010):
On a Class of Semi-Elliptic Diffusion Models - Part I: A Constructive Analytical Approach for Global Solutions, Densities and Numerical Schemes with Applications to the LIBOR Market Model.
SSRN
2009
2007
Fries, Christian P.
(2007):
Localized Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks.
SSRN
2006
Fries, Christian P. und Joshi, Mark S.
(2006):
Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks.
SSRN
Fries, Christian P. und Eckstaedt, Fabian
(2006):
A Hybrid Markov-Functional Model with Simultaneous Calibration to Interest Rate and FX Smile.
SSRN
2005
Fries, Christian P.
(2005):
Foresight Bias and Suboptimality Correction in Monte-Carlo Pricing of Options with Early Exercise: Classification, Calculation and Removal.
SSRN Electronic Journal
Fries, Christian P.
(2005):
Foresight Bias and Suboptimality Correction in Monte-Carlo Pricing of Options with Early Exercise: Classification, Calculation and Removal.
SSRN
Fries, Christian P. und Kampen, Joerg
(2005):
Proxy Simulation Schemes for Generic Robust Monte-Carlo Sensitivities, Process Oriented Importance Sampling and High Accuracy Drift Approximation.
SSRN
Rott, Marius G. und Fries, Christian P.
(2005):
Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation.
SSRN Electronic Journal
Fries, Christian P.
(2005):
Bumping the Model: Generic Robust Monte-Carlo Sensitivities using the Proxy Simulation Scheme Method.
SSRN Electronic Journal
2004
Fries, Christian P. und Rott, Marius G.
(2004):
Cross-Currency and Hybrid Markov-Functional Models.
SSRN