Christian P. Fries

LMU Munich, Department of Mathematics

Professor

Theresienstrasse 39

Munich

Germany

DZ Bank AG

60265 Frankfurt am Main

Germany

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 1,173

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Top 1,173

in Total Papers Downloads

18,419

CITATIONS
Rank 7,773

SSRN RANKINGS

Top 7,773

in Total Papers Citations

60

Scholarly Papers (31)

1.

Discounting Revisited: Valuation Under Funding, Counterparty Risk and Collateralization

Number of pages: 34 Posted: 17 May 2010 Last Revised: 14 Mar 2011
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 2,721 (2,807)
Citation 12

Abstract:

Discounting, Valuation, Counterparty Risk, Collateral, Netting, CVA, DVA, Bond, Swap, Credit Risk, Own Credit Risk, Wrong Way Risk

2.

Conditional Analytic Monte-Carlo Pricing Scheme of Auto-Callable Products

Number of pages: 28 Posted: 05 May 2008 Last Revised: 07 Apr 2010
Christian P. Fries and Mark S. Joshi
LMU Munich, Department of Mathematics and University of Melbourne - Centre for Actuarial Studies
Downloads 1,568 (6,943)
Citation 3

Abstract:

Monte Carlo Simulation, Pricing, Greeks, Variance Reduction, Auto-Callable, Trigger Product, Target Redemption Note

3.

Curves and Term Structure Models: Definition, Calibration and Application of Rate Curves and Term Structure Models

Number of pages: 22 Posted: 01 Jan 2013 Last Revised: 11 Apr 2013
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 1,540 (4,558)
Citation 1

Abstract:

Curves, Discount Curve, Forward Curve, Calibration, Bootstrapping, Multi-Curve, Tenor-Basis, Cross-Currency-Basis, Collateralization, Funding, OIS Discounting, Funding Curve, Spread Curve

4.

Cross-Currency and Hybrid Markov-Functional Models

Number of pages: 23 Posted: 27 Apr 2004
Christian P. Fries and Marius G. Rott
LMU Munich, Department of Mathematics and Independent
Downloads 1,399 (9,328)
Citation 2

Abstract:

Interest Rate Model, Markov Functional Model, Cross Currency Model, Spot Measure in Time Discrete Lattice Model

5.

Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks

Number of pages: 26 Posted: 03 Oct 2006
Christian P. Fries and Mark S. Joshi
LMU Munich, Department of Mathematics and University of Melbourne - Centre for Actuarial Studies
Downloads 1,396 (9,199)
Citation 13

Abstract:

Monte-Carlo Sensitivities, Likelihood Ratio, Importance Sampling, Greeks, Proxy Simulation Scheme, Digital Option, Binary Option, Trigger Product, Target Redemption Note

6.

Comments on Handling Objects in Spreadsheets

Number of pages: 18 Posted: 16 Oct 2008
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 747 (22,821)

Abstract:

Spreadsheet, Object Oriented, Concurrency, Parallel Computing, Multithreadding, Excel, Java

7.

Funded Replication: Valuing with Stochastic Funding

Number of pages: 26 Posted: 06 Mar 2011 Last Revised: 14 Apr 2011
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 657 (26,133)
Citation 3

Abstract:

Discounting, Valuation, Funding, Collateral, Mark to Market, Held to Maturity

8.

Localized Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks

Number of pages: 15 Posted: 08 May 2007
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 633 (30,391)
Citation 13

Abstract:

Monte-Carlo Sensitivities, Likelihood Ratio, Importance Sampling, Greeks, Proxy Simulation Scheme, Digital Option, Binary Option, Trigger Product, Target Redemption Note

9.

A Hybrid Markov-Functional Model with Simultaneous Calibration to Interest Rate and FX Smile

Number of pages: 23 Posted: 20 Aug 2006
Christian P. Fries and Fabian Eckstaedt
LMU Munich, Department of Mathematics and affiliation not provided to SSRN
Downloads 561 (35,569)

Abstract:

Markov Functional Model, Hybrid Model, FX Model, Implied Modeling, Smile

10.

Markov Functional Modeling of Equity, Commodity and Other Assets

Number of pages: 15 Posted: 05 Apr 2006
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 509 (40,181)

Abstract:

Markov Functional Model, Equity, Implied Modeling

11.

Arbitrage-free Asset Class Independent Volatility Surface Interpolation on Probability Space using Normed Call Prices

Number of pages: 27 Posted: 25 Nov 2011 Last Revised: 18 Oct 2013
Pijush Gope and Christian P. Fries
Independent and LMU Munich, Department of Mathematics
Downloads 500 (34,427)

Abstract:

NCP, Volatility Surface, Volatility Smile, Probability Space, Arbitrage Free Interpolation

12.

Monte-Carlo Simulation with Boundary Conditions (with Applications to Stress Testing, CEV and Variance-Gamma Simulation)

Number of pages: 40 Posted: 05 Apr 2010 Last Revised: 27 Apr 2010
Christian P. Fries and Joerg Kienitz
LMU Munich, Department of Mathematics and University of Cape Town
Downloads 477 (39,059)

Abstract:

Monte Carlo Simulation, Valuation, Stress Test, Variance Reduction, Boundary Conditions, Numerical Schemes, CEV, Variance Gamma

13.

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)

Number of pages: 32 Posted: 21 Apr 2005
Christian P. Fries and Joerg Kampen
LMU Munich, Department of Mathematics and Weierstrass Institute for Applied Analysis and Stochastics
Downloads 458 (46,098)
Citation 5

Abstract:

Monte-Carlo, Likelihood Ratio, Malliavin Calculus, Sensitivities, Greeks, Likelihood Ratio, Importance Sampling, Proxy Simulation Scheme, Weak Scheme, Digital Option, Binary Option, Trigger Product

14.

Stable Monte-Carlo Sensitivities of Bermudan Callable Products

Number of pages: 20 Posted: 17 Apr 2009 Last Revised: 22 Apr 2009
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 453 (44,435)
Citation 1

Abstract:

Monte Carlo Simulation, Pricing, Greeks, Variance Reduction, Bermudan Product, Cancelable Product, Early Exercise, Backward Algorithm

15.

Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation

Number of pages: 32 Posted: 01 Jun 2005
Marius G. Rott and Christian P. Fries
Independent and LMU Munich, Department of Mathematics
Downloads 401 (54,854)
Citation 4

Abstract:

Monte Carlo, CDO, Sensitivities, Greeks, Li Model, Likelihood Ratio, OO

16.

Displaced Relative Changes in Historical Simulation: Application to Risk Measures of Interest Rates with Phases of Negative Rates

Number of pages: 39 Posted: 01 Jan 2013 Last Revised: 19 Sep 2016
Christian P. Fries, Tobias Nigbur and Norman Seeger
LMU Munich, Department of Mathematics, University of St. Gallen and VU University Amsterdam
Downloads 304 (42,728)

Abstract:

Historical simulation, generalizations, negative risk factors, Value at Risk

17.

Foresight Bias and Suboptimality Correction in Monte-Carlo Pricing of Options with Early Exercise: Classification, Calculation and Removal

Number of pages: 27 Posted: 07 Nov 2005
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 282 (77,174)
Citation 1

Abstract:

Early Exercise, Bermudan Options, Compound Options, Monte-Carlo, Foresight

18.

Bumping the Model: Generic Robust Monte-Carlo Sensitivities using the Proxy Simulation Scheme Method

Number of pages: 14 Posted: 02 Jan 2006
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 205 (115,029)
Citation 1

Abstract:

Monte-Carlo, Likelihood Ratio, Malliavin Calculus, Sensitivities, Greeks, Proxy Scheme Simulation

19.

Collateralization and Funding Valuation Adjustments (FVA) for Total Return Swaps and Forward Contracts

Number of pages: 34 Posted: 02 Jun 2014 Last Revised: 08 Aug 2016
Christian P. Fries and Mark Lichtner
LMU Munich, Department of Mathematics and Independent
Downloads 167 (89,119)

Abstract:

Funding Valuation Adjustments, FVA, Collateralization, Repo

20.

Funded Replication: Fund Exchange Process and the Valuation with Different Funding-Accounts (Cross-Currency Analogy to Funding Revisited)

Number of pages: 12 Posted: 23 Jul 2012 Last Revised: 25 Jul 2012
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 146 (136,468)
Citation 1

Abstract:

discounting, funding, FVA, CVA, DVA, derivative pricing, funded replication

21.

Funded Inside: The Internal Transfer of Costs and Risks from Collateralized and Funded Derivatives

Number of pages: 25 Posted: 28 Aug 2012 Last Revised: 07 Jan 2013
Christian P. Fries and Joerg Zinnegger
LMU Munich, Department of Mathematics and z-frm
Downloads 139 (149,301)

Abstract:

funding, derivative, collateral, valuation, FVA

22.

A Short Note on the Regularization of the Diffusion Matrix for the Euler Scheme of an SDE

Number of pages: 10 Posted: 21 Mar 2006
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 102 (207,551)

Abstract:

Monte-Carlo simulation, Euler scheme, singular diffusion matrix

23.

Portfolio Risk with Selected Revaluation

Number of pages: 20 Posted: 19 Apr 2011
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 83 (230,376)

Abstract:

Portfolio Risk, Value at Risk, Historic Simulation, Computational Performance

24.

On a Class of Semi-Elliptic Diffusion Models - Part I: A Constructive Analytical Approach for Global Solutions, Densities and Numerical Schemes with Applications to the LIBOR Market Model

Number of pages: 28 Posted: 05 Apr 2010
Christian P. Fries and Joerg Kampen
LMU Munich, Department of Mathematics and Weierstrass Institute for Applied Analysis and Stochastics
Downloads 65 (268,252)

Abstract:

Degenerate parabolic equations, financial derivatives, sensitivities, Monte-Carlo methods

25.

Standardization of Call Prices and No-Arbitrage Properties with Extension to Negative Forwards Post Financial Crisis

Number of pages: 5 Posted: 19 Oct 2013 Last Revised: 02 Jan 2014
Pijush Gope and Christian P. Fries
Independent and LMU Munich, Department of Mathematics
Downloads 43 (286,464)

Abstract:

NCP, normed call prices, arbitrage free pricing, negative forwards, multi curve

26.

XVA of a Derivative on an Underlying Modelled by a Default Jump Process with an Analysis of CVA Wrong Way Risk for Bond Forwards

Number of pages: 37 Posted: 22 Apr 2015
Mark Lichtner and Christian P. Fries
Independent and LMU Munich, Department of Mathematics
Downloads 38 (225,538)

Abstract:

Black Scholes, defaultable underlying, bond derivatives, funding costs (FVA), counterparty credit value adjustment (CVA), underlying credit value adjustment, XVA, cash collateralization, bond forwards, total return swaps, wrong way Risk, default correlation

27.

Dynamic Refinement of the Term Structure - Time Homogenous Term Structure Modeling

Number of pages: 28 Posted: 29 Dec 2016 Last Revised: 11 Feb 2017
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 0 (345,405)

Abstract:

LIBOR Market Model, Heath-Jarrow-Morton Framework, Tenor Discretization, Term-Structure Models

28.

Volatility Risk

Number of pages: 23 Posted: 26 Sep 2016
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 0 (189,197)

Abstract:

Historical Simulation, VaR, FRTB, Market Risk, Implied Volatility, SABR, Volatility Smile

29.

A Short Note on the Exact Stochastic Simulation Scheme of the Hull-White Model and Its Implementation

Number of pages: 18 Posted: 25 Feb 2016 Last Revised: 23 May 2016
Christian P. Fries
LMU Munich, Department of Mathematics
Downloads 0 (203,321)

Abstract:

Hull-White model, Monte-Carlo simulation, Euler scheme, Exact scheme

30.

Lognormal vs Normal Volatilities and Sensitivities in Practice

Number of pages: 20 Posted: 08 Nov 2015 Last Revised: 20 Mar 2016
Georgi Dimitroff, Christian P. Fries, Mark Lichtner and Niklas Rodi
Independent, LMU Munich, Department of Mathematics, Independent and Independent
Downloads 0 (23,308)

Abstract:

negative rates, low rates, lognormal volatility, normal volatility, displaced, displacement, normal delta, lognormal delta

31.

Interest Rate Curve Interpolations and Their Assessment via Hedge Simulations

Number of pages: 34 Posted: 26 Jul 2015 Last Revised: 17 Nov 2015
Christian P. Fries and Christoph Plum
LMU Munich, Department of Mathematics and Ludwig Maximilian University of Munich - Department of Mathematics
Downloads 0 (338,990)

Abstract: