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 0 2 10
Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization 0 0 1 47 0 0 1 138
Fair Share of GDP to Mitigate Climate Change Costs (according to DICE) 0 0 2 2 0 0 3 3
Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems 0 0 0 14 1 1 3 114
Implementing a financial derivative as smart contract 0 0 1 19 1 1 2 58
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 1 2 4 6
Intergenerational Equity in Models of Climate Change Mitigation: Stochastic Interest Rates introduce Adverse Effects, but (Non-linear) Funding Costs can Improve Intergenerational Equity 0 1 1 4 0 1 1 10
Non-Linear Discounting and Default Compensation: Valuation of Non-Replicable Value and Damage: When the Social Discount Rate may become Negative 0 0 1 3 0 1 3 13
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 4 1,099
Stochastic Algorithmic Differentiation of (Expectations of) Discontinuous Functions (Indicator Functions) 0 0 0 8 1 1 2 31
The Foresight Bias in Monte-Carlo Pricing of Options with Early 0 0 2 366 1 2 9 1,112
Total Working Papers 0 1 9 810 5 9 35 2,600

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 1 52
Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates 0 0 1 26 0 0 4 91
Dynamic refinement of the term structure: time-homogeneous term structure modeling 0 0 0 0 0 0 2 2
Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments) 0 0 0 0 0 0 0 0
PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS 0 0 1 8 0 1 3 29
Partial proxy simulation schemes for generic and robust Monte Carlo Greeks 0 0 0 0 0 0 0 0
Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation 0 0 1 1 0 0 2 2
Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations 0 0 2 22 0 0 6 59
Total Journal Articles 0 0 5 60 0 1 18 235

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Statistics updated 2025-09-05