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 3 4 5 14
Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization 0 0 0 47 1 5 5 143
Fair Share of GDP to Mitigate Climate Change Costs (according to DICE) 0 0 0 2 0 3 8 11
Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems 0 0 0 14 0 1 2 115
Implementing a financial derivative as smart contract 0 0 0 19 0 3 5 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 5 12 17 20
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 1 4 7 16
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 3 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 0 6 8 1,106
Stochastic Algorithmic Differentiation of (Expectations of) Discontinuous Functions (Indicator Functions) 0 0 0 8 1 5 7 37
The Foresight Bias in Monte-Carlo Pricing of Options with Early 0 0 1 366 0 3 12 1,119
Total Working Papers 0 0 4 810 11 50 85 2,668

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 3 5 56
Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates 1 1 1 27 3 12 12 103
Dynamic refinement of the term structure: time-homogeneous term structure modeling 0 0 0 0 0 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 0 2 2 2
PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS 0 0 3 10 0 3 10 36
Partial proxy simulation schemes for generic and robust Monte Carlo Greeks 0 0 0 0 1 3 4 4
Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation 0 0 0 1 2 5 5 7
Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations 0 1 3 24 3 8 13 70
Total Journal Articles 1 2 7 65 9 38 54 282

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Statistics updated 2026-03-04