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Details about Christian Fries

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Homepage:http://www.christian-fries.de

Access statistics for papers by Christian Fries.

Last updated 2011-11-06. Update your information in the RePEc Author Service.

Short-id: pfr89


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Working Papers

2012

  1. Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems
    Papers, arXiv.org Downloads

2010

  1. Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization
    MPRA Paper, University Library of Munich, Germany Downloads View citations (17)

2005

  1. Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LIBOR Market Model)
    Finance, University Library of Munich, Germany Downloads
  2. The Foresight Bias in Monte-Carlo Pricing of Options with Early
    Finance, University Library of Munich, Germany Downloads

Journal Articles

2009

  1. A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile
    Quantitative Finance, 2009, 11, (4), 587-597 Downloads View citations (1)
 
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