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Dynamic refinement of the term structure: time-homogeneous term structure modeling

Fries, Christian - In: The journal of computational finance 24 (2020) 1, pp. 103-129

Persistent link: https://www.econbiz.de/10012421963

Stochastic automatic differentiation : automatic differentiation for Monte-Carlo simulations

Fries, Christian - In: Quantitative finance 19 (2019) 6, pp. 1043-1059

Persistent link: https://www.econbiz.de/10012194740

Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)

Fries, Christian - In: The journal of computational finance 22 (2018/2019) 4, pp. 103-125

Persistent link: https://www.econbiz.de/10012042220

Partial proxy simulation schemes for generic and robust Monte-Carlo greeks

Fries, Christian P. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003632936

Conditional analytic Monte-Carlo pricing schemes of auto-callable products

Fries, Christian P. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003797798

Mathematical finance : theory, modeling, implementation

Fries, Christian - 2007

Persistent link: https://www.econbiz.de/10003433292

Partial proxy simulation schemes for generic and robust Monte Carlo Greeks

Fries, Christian P.; Joshi, Mark S. - In: The journal of computational finance 11 (2007/08) 3, pp. 79-106

Persistent link: https://www.econbiz.de/10003700003

Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products

Fries, Christian P.; Joshi, Mark S. - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 197-219

Persistent link: https://www.econbiz.de/10008992179

FVA : Berücksichtigung der Finanzierung in der Derivatebewertung

Fries, Christian; Schwake, Daniel; Sudmann, Tobias - In: Zeitschrift für das gesamte Kreditwesen : Pflichtblatt … 66 (2013) 11, pp. 573-575

Persistent link: https://www.econbiz.de/10009750381

Portfolio Risk with Selected Revaluation

Fries, Christian P. - 2011

Calculation of portfolio risk distributions, e.g. as used in the calculation of a "value at risk", may involve a huge number of valuations for every single financial product in a portfolio. The usual situation is that a distribution of market scenarios is given by a very large set (a sample) of...

Persistent link: https://www.econbiz.de/10013127712