Peter Kohl-Landgraf

DZ Bank AG

60265 Frankfurt am Main

Germany

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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1.

Smart Derivative Contracts (Detaching Transactions from Counterparty Credit Risk: Specification, Parametrisation, Valuation)

Number of pages: 22 Posted: 24 Apr 2018 Last Revised: 09 Jan 2019
Christian P. Fries and Peter Kohl-Landgraf
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and DZ Bank AG
Downloads 1,057 (28,844)
Citation 4

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Collateralization, CCP, Initial Margin, Smart Contract, Settlement Risk, Gap Risk

2.

Melting Sensitivities - Exact and Approximate Margin Valuation Adjustments

Number of pages: 44 Posted: 05 Jan 2018 Last Revised: 06 Mar 2018
Christian P. Fries, Peter Kohl-Landgraf and Mario Viehmann
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, DZ Bank AG and Ludwig Maximilian University of Munich (LMU)
Downloads 388 (105,089)
Citation 4

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MVA, Initial Margin Simulation, ISDA SIMM, Automatic Differentiation, Adjoint Automatic Differentiation, Forward Sensitivities

3.

Implementing a Financial Derivative as Smart Contract

Number of pages: 51 Posted: 19 Mar 2019 Last Revised: 28 May 2019
Christian P. Fries, Peter Kohl-Landgraf, Björn Paffen, Stefanie Weddigen, Luca Del Re, Wilfried Schütte, David Bacher, Rebecca Declara, Daniel Eichsteller, Florian Weichand and Michael Streubel
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, DZ Bank AG, DZ Bank AG, DZ Bank AG, DZ Bank AG, DZ Bank AG, Bayerische Landesbank, Bayerische Landesbank, Cofinpro AG, Cofinpro AG and Cofinpro AG
Downloads 262 (159,644)
Citation 2

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Smart Derivative Contracts, Derivative, Settlement, Distributed Ledger, Blockchain, Code is Law

4.

Smart Derivative Contracts (Presentation Slides of the 14th Quant Finance Conference)

Number of pages: 43 Posted: 19 Nov 2018
Christian P. Fries and Peter Kohl-Landgraf
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and DZ Bank AG
Downloads 245 (170,467)
Citation 1

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Collateralization, CCP, Initial Margin, Smart Contract, Settlement Risk, Gap Risk

5.

Rethinking Financial Derivatives Inspired by Smart Contracts - A Request for Comments

Number of pages: 5 Posted: 09 Oct 2018
Christian P. Fries and Peter Kohl-Landgraf
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and DZ Bank AG
Downloads 110 (332,392)
Citation 1

Abstract:

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Settlement Risk, Financial Derivatives, Smart Contract, Distributed Ledger