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 1 1 3 11
Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization 0 0 0 47 4 4 4 142
Fair Share of GDP to Mitigate Climate Change Costs (according to DICE) 0 0 0 2 2 6 9 11
Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems 0 0 0 14 1 1 2 115
Implementing a financial derivative as smart contract 0 0 1 19 3 3 6 62
Implied CO$_{\textbf{2}}$-Price and Interest Rate of Carbon 0 0 0 3 0 1 2 7
Intergenerational Equitable Climate Change Mitigation: Negative Effects of Stochastic Interest Rates; Positive Effects of Financing 0 0 0 3 3 9 12 15
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 1 4 2 3 6 15
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 2 4 7 18
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 5 7 9 1,106
Stochastic Algorithmic Differentiation of (Expectations of) Discontinuous Functions (Indicator Functions) 0 0 0 8 3 4 6 36
The Foresight Bias in Monte-Carlo Pricing of Options with Early 0 0 1 366 1 4 13 1,119
Total Working Papers 0 0 5 810 27 47 79 2,657

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 2 4 5 56
Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates 0 0 0 26 7 9 10 100
Dynamic refinement of the term structure: time-homogeneous term structure modeling 0 0 0 0 2 2 3 4
Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments) 0 0 0 0 2 2 2 2
PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS 0 2 3 10 1 6 10 36
Partial proxy simulation schemes for generic and robust Monte Carlo Greeks 0 0 0 0 2 2 3 3
Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation 0 0 1 1 3 3 5 5
Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations 1 1 4 24 3 5 12 67
Total Journal Articles 1 3 8 64 22 33 50 273

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Statistics updated 2026-02-12