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Fries, Christian P.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
12,170 |
Total
Citations
54 |
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1.
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Fries, Christian P.
LMU Munich, Department of Mathematics
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17 May 10
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Last Revised:
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14 Mar 11
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2,327
(2,178)
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9
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Discounting, Valuation, Counterparty Risk, Collateral, Netting, CVA, DVA, Bond, Swap, Credit Risk, Own Credit Risk, Wrong Way Risk
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2.
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Fries, Christian P.
LMU Munich, Department of Mathematics Rott, Marius G.
Independent
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1,359
(5,544)
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2
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Interest Rate Model, Markov Functional Model, Cross Currency Model, Spot Measure in Time Discrete Lattice Model
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3.
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Fries, Christian P.
LMU Munich, Department of Mathematics Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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05 May 08
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Last Revised:
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07 Apr 10
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1,358
(5,550)
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3
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Monte Carlo Simulation, Pricing, Greeks, Variance Reduction, Auto-Callable, Trigger Product, Target Redemption Note
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4.
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Fries, Christian P.
LMU Munich, Department of Mathematics Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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1,311
(5,875)
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12
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Monte-Carlo Sensitivities, Likelihood Ratio, Importance Sampling, Greeks, Proxy Simulation Scheme, Digital Option, Binary Option, Trigger Product, Target Redemption Note
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5.
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Fries, Christian P.
LMU Munich, Department of Mathematics
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633
(18,472)
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Spreadsheet, Object Oriented, Concurrency, Parallel Computing, Multithreadding, Excel, Java
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6.
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Fries, Christian P.
LMU Munich, Department of Mathematics
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586
(20,565)
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13
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Monte-Carlo Sensitivities, Likelihood Ratio, Importance Sampling, Greeks, Proxy Simulation Scheme, Digital Option, Binary Option, Trigger Product, Target Redemption Note
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7.
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Fries, Christian P.
LMU Munich, Department of Mathematics Eckstaedt, Fabian
affiliation not provided to SSRN
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521
(24,127)
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Markov Functional Model, Hybrid Model, FX Model, Implied Modeling, Smile
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8.
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Fries, Christian P.
LMU Munich, Department of Mathematics
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06 Mar 11
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Last Revised:
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14 Apr 11
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512
(24,764)
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1
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Discounting, Valuation, Funding, Collateral, Mark to Market, Held to Maturity
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9.
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Fries, Christian P.
LMU Munich, Department of Mathematics
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481
(26,776)
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Markov Functional Model, Equity, Implied Modeling
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10.
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Fries, Christian P.
LMU Munich, Department of Mathematics Kampen, Joerg
Weierstrass Institute for Applied Analysis and Stochastics
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440
(30,098)
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5
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Monte-Carlo, Likelihood Ratio, Malliavin Calculus, Sensitivities, Greeks, Likelihood Ratio, Importance Sampling, Proxy Simulation Scheme, Weak Scheme, Digital Option, Binary Option, Trigger Product
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11.
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Fries, Christian P.
LMU Munich, Department of Mathematics
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17 Apr 09
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Last Revised:
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22 Apr 09
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397
(34,290)
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1
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Monte Carlo Simulation, Pricing, Greeks, Variance Reduction, Bermudan Product, Cancelable Product, Early Exercise, Backward Algorithm
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12.
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Rott, Marius G.
Independent Fries, Christian P.
LMU Munich, Department of Mathematics
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393
(34,748)
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4
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Monte Carlo, CDO, Sensitivities, Greeks, Li Model, Likelihood Ratio, OO
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13.
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Fries, Christian P.
LMU Munich, Department of Mathematics Kienitz, Joerg
Deutsche Postbank AG
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05 Apr 10
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Last Revised:
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27 Apr 10
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355
(39,510)
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Monte Carlo Simulation, Valuation, Stress Test, Variance Reduction, Boundary Conditions, Numerical Schemes, CEV, Variance Gamma
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14.
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Gope, Pijush
DZ Bank AG Fries, Christian P.
LMU Munich, Department of Mathematics
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25 Nov 11
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Last Revised:
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06 Nov 12
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319
(44,756)
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NCP, Volatility Surface, Volatility Smile, Probability Space, Arbitrage Free Interpolation
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15.
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Fries, Christian P.
LMU Munich, Department of Mathematics
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249
(59,393)
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2
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Early Exercise, Bermudan Options, Compound Options, Monte-Carlo, Foresight
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16.
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Fries, Christian P.
LMU Munich, Department of Mathematics
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01 Jan 13
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Last Revised:
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11 Apr 13
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224
(66,489)
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Curves, Discount Curve, Forward Curve, Calibration, Bootstrapping, Multi-Curve, Tenor-Basis, Cross-Currency-Basis, Collateralization, Funding, OIS Discounting, Funding Curve, Spread Curve
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17.
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Fries, Christian P.
LMU Munich, Department of Mathematics
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191
(78,106)
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1
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Monte-Carlo, Likelihood Ratio, Malliavin Calculus, Sensitivities, Greeks, Proxy Scheme Simulation
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18.
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Fries, Christian P.
LMU Munich, Department of Mathematics Zinnegger, Joerg
z-frm
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28 Aug 12
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Last Revised:
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07 Jan 13
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107
(128,721)
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funding, derivative, collateral, valuation, FVA
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19.
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Fries, Christian P.
LMU Munich, Department of Mathematics
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23 Jul 12
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Last Revised:
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25 Jul 12
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100
(135,969)
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1
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discounting, funding, FVA, CVA, DVA, derivative pricing, funded replication
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20.
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Fries, Christian P.
LMU Munich, Department of Mathematics
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99
(135,969)
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Monte-Carlo simulation, Euler scheme, singular diffusion matrix
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21.
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Fries, Christian P.
LMU Munich, Department of Mathematics Nigbur, Tobias
University of St. Gallen Seeger, Norman
VU University Amsterdam
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01 Jan 13
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Last Revised:
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15 Jan 13
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88
(147,119)
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Historical simulation, generalizations, negative risk factors, Value at Risk
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22.
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Fries, Christian P.
LMU Munich, Department of Mathematics
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67
(173,220)
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Portfolio Risk, Value at Risk, Historic Simulation, Computational Performance
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23.
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Fries, Christian P.
LMU Munich, Department of Mathematics Kampen, Joerg
Weierstrass Institute for Applied Analysis and Stochastics
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53
(194,946)
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Degenerate parabolic equations, financial derivatives, sensitivities, Monte-Carlo methods
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Records 1 -
23
of 23 matches
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