Christian Fries

Personal Details

First Name:	Christian
Middle Name:
Last Name:	Fries
Suffix:
RePEc Short-ID:	pfr89
	[This author has chosen not to make the email address public]
	http://www.christian-fries.de

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Christian Fries & Lennart Quante, 2023. "Intergenerational Equity in Models of Climate Change Mitigation: Stochastic Interest Rates introduce Adverse Effects, but (Non-linear) Funding Costs can Improve Intergenerational Equity," Papers 2309.16186, arXiv.org, revised Sep 2023.

   Cited by:

   1. Christian P. Fries & Lennart Quante, 2023. "Intergenerational Equitable Climate Change Mitigation: Negative Effects of Stochastic Interest Rates; Positive Effects of Financing," Papers 2312.07614, arXiv.org, revised May 2024.

2. Christian P. Fries, 2020. "Non-Linear Discounting and Default Compensation: Valuation of Non-Replicable Value and Damage: When the Social Discount Rate may become Negative," Papers 2007.06465, arXiv.org, revised Oct 2021.

   Cited by:

   1. Christian P. Fries & Lennart Quante, 2023. "Intergenerational Equitable Climate Change Mitigation: Negative Effects of Stochastic Interest Rates; Positive Effects of Financing," Papers 2312.07614, arXiv.org, revised May 2024.

3. Christian P. Fries, 2017. "Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation)," Papers 1707.04942, arXiv.org.

   Cited by:

   1. Christian P. Fries, 2018. "Stochastic Algorithmic Differentiation of (Expectations of) Discontinuous Functions (Indicator Functions)," Papers 1811.05741, arXiv.org, revised Nov 2019.

4. Fries, Christian P., 2010. "Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization," MPRA Paper 23082, University Library of Munich, Germany, revised 30 May 2010.

   Cited by:

   1. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
   2. N. Moreni & A. Pallavicini, 2014. "Parsimonious HJM modelling for multiple yield curve dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 199-210, February.
      • Nicola Moreni & Andrea Pallavicini, 2010. "Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics," Papers 1011.0828, arXiv.org.
   3. Bianchetti, Marco & Carlicchi, Mattia, 2012. "Markets Evolution After the Credit Crunch," MPRA Paper 44023, University Library of Munich, Germany.
   4. Bert-Jan Nauta, 2015. "Liquidity Risk, Instead Of Funding Costs, Leads To A Valuation Adjustment For Derivatives And Other Assets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-30.
   5. Marco Bianchetti & Mattia Carlicchi, 2013. "Markets Evolution After the Credit Crunch," Papers 1301.7078, arXiv.org.
   6. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2011. "Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation," Papers 1112.1521, arXiv.org, revised Dec 2011.
   7. Jean-Paul Laurent & Philippe Amzelek & Joe Bonnaud, 2014. "An overview of the valuation of collateralized derivative contracts," Review of Derivatives Research, Springer, vol. 17(3), pages 261-286, October.
   8. Marco Bianchetti, 2012. "The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management," Papers 1210.7329, arXiv.org.
      • Marco, Bianchetti, 2011. "The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management," MPRA Paper 42247, University Library of Munich, Germany, revised 27 Oct 2012.
   9. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
   10. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
   11. Marco, Bianchetti & Mattia, Carlicchi, 2012. "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," MPRA Paper 42248, University Library of Munich, Germany.
   12. Lixin Wu, 2015. "Cva And Fva To Derivatives Trades Collateralized By Cash," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-22.
   13. Tomasz R. Bielecki & Marek Rutkowski, 2013. "Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1," Papers 1306.4733, arXiv.org, revised Jun 2013.
   14. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
   15. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
   16. Lixin Wu, 2013. "CVA and FVA to Derivatives Trades Collateralized by Cash," Papers 1302.0465, arXiv.org.

5. Christian Fries, 2005. "The Foresight Bias in Monte-Carlo Pricing of Options with Early," Finance 0511002, University Library of Munich, Germany, revised 08 Nov 2005.

   Cited by:

   1. Beveridge, Christopher & Joshi, Mark & Tang, Robert, 2013. "Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1342-1361.
   2. Lindset, Snorre & Lund, Arne-Christian, 2007. "A Monte Carlo approach for the American put under stochastic interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1081-1105, April.

Articles

1. Christian P. Fries, 2019. "Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations," Quantitative Finance, Taylor & Francis Journals, vol. 19(6), pages 1043-1059, June.

   Cited by:

   1. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
      • Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.

2. Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017. "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 175-198.

   Cited by:

   1. Jae‐Yun Jun & Victor Lebreton & Yves Rakotondratsimba, 2021. "Forecasting negative yield‐curve distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 367-386, April.
   2. Yingchao Zou & Kaijian He, 2022. "Forecasting Crude Oil Risk Using a Multivariate Multiscale Convolutional Neural Network Model," Mathematics, MDPI, vol. 10(14), pages 1-11, July.
   3. Lu-Tao Zhao & Li-Na Liu & Zi-Jie Wang & Ling-Yun He, 2019. "Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach," Sustainability, MDPI, vol. 11(14), pages 1-20, July.
   4. Riccardo Bramante & Gimmi Dallago & Silvia Facchinetti, 2022. "Black’s model in a negative interest rate environment, with application to OTC derivatives," Computational Management Science, Springer, vol. 19(1), pages 25-39, January.

3. Christian P. Fries & Mark S. Joshi, 2011. "Perturbation Stable Conditional Analytic Monte-Carlo Pricing Scheme For Auto-Callable Products," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(02), pages 197-219.

   Cited by:

   1. Huang, Min & Luo, Guo, 2022. "A simple and efficient numerical method for pricing discretely monitored early-exercise options," Applied Mathematics and Computation, Elsevier, vol. 422(C).
   2. Min Huang & Guo Luo, 2019. "A simple and efficient numerical method for pricing discretely monitored early-exercise options," Papers 1905.13407, arXiv.org, revised Jun 2019.
   3. Yeda Cui & Lingfei Li & Gongqiu Zhang, 2024. "Pricing and hedging autocallable products by Markov chain approximation," Review of Derivatives Research, Springer, vol. 27(3), pages 259-303, October.
   4. Jiun Hong Chan and Mark Joshi, 2012. "Optimal Limit Methods for Computing Sensitivities of," Department of Economics - Working Papers Series 1142, The University of Melbourne.

4. Christian Fries & Fabian Eckstaedt, 2009. "A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 587-597.

   Cited by:

   1. Antonis Papapantoleon, 2010. "Old and new approaches to LIBOR modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(3), pages 257-275, August.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-ENE: Energy Economics (3) 2023-10-23 2024-01-22 2024-01-29
2. NEP-ENV: Environmental Economics (3) 2023-10-23 2024-01-22 2024-01-29
3. NEP-CMP: Computational Economics (2) 2005-04-16 2005-11-05
4. NEP-FIN: Finance (1) 2005-11-05
5. NEP-FMK: Financial Markets (1) 2005-11-05
6. NEP-PAY: Payment Systems and Financial Technology (1) 2019-03-11
7. NEP-PPM: Project, Program and Portfolio Management (1) 2020-08-31
8. NEP-RMG: Risk Management (1) 2020-08-31

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