Concepedia

Christian Fries

CF

18

Publications

300

Citations

13

H-Index

1998

Active since

Affiliations

Deutsche Bank (Germany)(Current)

Ludwig-Maximilians-Universität München

The University of Melbourne

RWTH Aachen University

University of St.Gallen

Christian Fries is an author at Deutsche Bank (Germany) specializing in engineering, business, and computer science.

Top concepts

Publications per year

1998–2019

18

Publications

18

Discounting Revisited: Valuation Under Funding, Counterparty Risk and Collateralization

Christian Fries · SSRN Electronic Journal · 2010 · 43 citations · Full text

Proxy Simulation Schemes for Generic Robust Monte-Carlo Sensitivities, Process Oriented Importance Sampling and High Accuracy Drift Approximation (With Applications to the LIBOR Market Model)

Christian Fries, Joerg Kampen · SSRN Electronic Journal · 2005 · 22 citations · Full text

Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation

Marius G. Rott, Christian Fries · SSRN Electronic Journal · 2005 · 21 citations · Full text

Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks

Christian Fries, Mark S. Joshi · SSRN Electronic Journal · 2006 · 21 citations · Full text

Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation

Christian Fries, Jörg Kampen · The Journal of Computational Finance · 2006 · 21 citations

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