Access Statistics for Christian Fries

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation) 0 0 0 2 0 1 2 10
Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization 0 0 1 47 0 0 1 138
Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems 0 0 0 14 0 0 2 113
Implementing a financial derivative as smart contract 0 0 1 19 0 0 1 57
Implied CO$_{\textbf{2}}$-Price and Interest Rate of Carbon 0 0 0 3 0 0 1 6
Intergenerational Equitable Climate Change Mitigation: Negative Effects of Stochastic Interest Rates; Positive Effects of Financing 0 0 0 3 0 1 2 4
Intergenerational Equity in Models of Climate Change Mitigation: Stochastic Interest Rates introduce Adverse Effects, but (Non-linear) Funding Costs can Improve Intergenerational Equity 0 0 0 3 0 0 1 9
Non-Linear Discounting and Default Compensation: Valuation of Non-Replicable Value and Damage: When the Social Discount Rate may become Negative 0 1 1 3 0 1 2 12
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) 0 0 1 339 0 0 5 1,099
Stochastic Algorithmic Differentiation of (Expectations of) Discontinuous Functions (Indicator Functions) 0 0 0 8 0 0 1 30
The Foresight Bias in Monte-Carlo Pricing of Options with Early 0 1 2 366 1 3 8 1,111
Total Working Papers 0 2 6 807 1 6 26 2,589


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile 0 0 0 3 0 0 2 52
Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates 0 0 2 26 0 0 6 91
PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS 0 1 1 8 1 3 3 29
Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations 0 1 2 22 0 1 6 59
Total Journal Articles 0 2 5 59 1 4 17 231


Statistics updated 2025-07-04