Details about Christian Fries

Access statistics for papers by Christian Fries.

Last updated 2024-12-02. Update your information in the RePEc Author Service.

Short-id: pfr89

Working Papers

2024

1. Implied CO$_{\textbf{2}}$-Price and Interest Rate of Carbon
   Papers, arXiv.org
2. Intergenerational Equitable Climate Change Mitigation: Negative Effects of Stochastic Interest Rates; Positive Effects of Financing
   Papers, arXiv.org

2023

3. Intergenerational Equity in Models of Climate Change Mitigation: Stochastic Interest Rates introduce Adverse Effects, but (Non-linear) Funding Costs can Improve Intergenerational Equity
   Papers, arXiv.org View citations (2)

2021

4. Non-Linear Discounting and Default Compensation: Valuation of Non-Replicable Value and Damage: When the Social Discount Rate may become Negative
   Papers, arXiv.org View citations (1)

2019

5. Implementing a financial derivative as smart contract
   Papers, arXiv.org
6. Stochastic Algorithmic Differentiation of (Expectations of) Discontinuous Functions (Indicator Functions)
   Papers, arXiv.org

2017

7. Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation)
   Papers, arXiv.org View citations (1)

2012

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

2010

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

2005

10. 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
11. The Foresight Bias in Monte-Carlo Pricing of Options with Early
    Finance, University Library of Munich, Germany View citations (2)

Journal Articles

2019

1. Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations
   Quantitative Finance, 2019, 19, (6), 1043-1059 View citations (2)

2017

2. Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates
   Journal of Empirical Finance, 2017, 42, (C), 175-198 View citations (4)

2011

3. PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS
   International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (02), 197-219 View citations (4)

2009

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