Get started
Author

Christian Fries

Observed names: CHRISTIAN P. FRIES, Christian P. Fries, Fries, Christian, Fries, Christian P, Fries, Christian P.
ORCID: 0000-0003-4767-2034
Observed ORCID: 0000-0003-4767-2034
OpenAlex ID: A5059872965
Numerical Methods for Partial Differential Equations
2007 · Christian Fries · Mathematical Finance · 164
Mathematical Finance
2007 · Christian Fries · Wiley eBooks · 59
Discounting Revisited: Valuation Under Funding, Counterparty Risk and Collateralization
2010 · Christian P. Fries · SSRN Electronic Journal · 43
Mathematical Finance: Theory, Modeling, Implementation
2007 · Christian Fries · 29
Stochastic Automatic Differentiation: Automatic Differentiation for Monte-Carlo Simulations
2017 · Christian P. Fries · Quantitative Finance · 24
Proxy Simulation Schemes for Generic Robust Monte-Carlo Sensitivities, Process Oriented Importance Sampling and High Accuracy Drift Approximation (with Applications to the Libor Market Model)
2005 · Christian P. Fries, Joerg Kampen · SSRN Electronic Journal · 20
Fast and Robust Monte Carlo Cdo Sensitivities and Their Efficient Object Oriented Implementation
2005 · Marius G. Rott, Christian P. Fries · SSRN Electronic Journal · 18
Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation
2006 · Christian Fries, Jörg Kampen · The Journal of Computational Finance · 17
Volatility Model Calibration With Convolutional Neural Networks
2018 · Georgi Dimitroff, Dirk Röder, et al. · SSRN Electronic Journal · 16
Smart Derivative Contracts (Detaching Transactions from Counterparty Credit Risk: Specification, Parametrisation, Valuation)
2018 · Christian P. Fries, Peter Kohl-Landgraf · SSRN Electronic Journal · 13
Perturbation Stable Conditional Analytic Monte-carlo Pricing Scheme for Auto-callable Products
2011 · CHRISTIAN P. FRIES, MARK S. JOSHI · International Journal of Theoretical and Applied Finance · 12
Localized Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks
2007 · Christian P. Fries · SSRN Electronic Journal · 12
Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates
2017 · Christian P. Fries, Tobias Nigbur, et al. · Journal of Empirical Finance · 11
PDF
Fast Stochastic Forward Sensitivities in Monte-Carlo Simulations Using Stochastic Automatic Differentiation (with Applications to Initial Margin Valuation Adjustments (MVA))
2017 · Christian P. Fries · SSRN Electronic Journal · 11
Conditional Analytic Monte-Carlo Pricing Scheme of Auto-Callable Products
2008 · Christian P. Fries, Mark Joshi · SSRN Electronic Journal · 11
Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise
2007 · Christian P. Fries · Mathematics in industry · 10
Better Than Its Reputation: An Empirical Hedging Analysis Of The Local Volatility Model For Barrier Options
2006 · Stephen Taylor, Matthias R. Fengler, et al. · SSRN Electronic Journal · 10
Foresight Bias and Suboptimality Correction in Monte-Carlo Pricing of Options with Early Exercise: Classification, Calculation and Removal
2005 · Christian P. Fries · SSRN Electronic Journal · 10
Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation)
2017 · Christian P. Fries · SSRN Electronic Journal · 9
Funded Replication: Fund Exchange Processand the Valuation with Different Funding-Accounts (Cross-Currency Analogy to Funding Revisited)
2013 · Christian P. Fries · Wilmott · 8
Funded Replication: Valuing with Stochastic Funding
2011 · Christian P. Fries · SSRN Electronic Journal · 8
Cross-Currency and Hybrid Markov-Functional Models
2004 · Christian P. Fries, Marius G. Rott · SSRN Electronic Journal · 8
Implementing a Financial Derivative as Smart Contract
2019 · Christian P. Fries, Peter Kohl-Landgraf, et al. · SSRN Electronic Journal · 7
Melting Sensitivities - Exact and Approximate Margin Valuation Adjustments
2018 · Christian P. Fries, Peter Kohl-Landgraf, et al. · SSRN Electronic Journal · 7
Lognormal vs Normal Volatilities and Sensitivities in Practice
2015 · Georgi Dimitroff, Christian P. Fries, et al. · SSRN Electronic Journal · 7
Works count: 128
Citation count: 616
H-index: 12
I10-index: 18
Year
Topic
Type