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Zeitschriftenartikel
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
Fries, Christian P.
(2019):
Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations.
In: Quantitative Finance, Bd. 19, Nr. 6: S. 1043-1059
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