Mathematical Finance

Mathematical Finance: Theory, Modeling, Implementation. Wiley, 2007.

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In connection with my book "Mathematical Finance" a set of tutorial applets is available. An in depth discussion of the applets and the underlying methodology is given in my book.

• Gope, Pijush; Fries, Christian P.: Volatility Surface Interpolation on Probability Space using Normed Call Prices. 2011. (Download from SSRN)
  
  
• Fries, Christian P.: Funded Replication: Valuing with Stochastic Funding. 2011. (Download from SSRN)
  
  
• Fries, Christian P.: Discounting Revisited. Valuation under Funding, Counterparty Risk and Collateralization. 2010. (Download from SSRN)
  
  
• Fries, Christian P.: Stressed in Monte-Carlo.
  Risk magazin, April 2011.
  
  
• Fries, Christian P.: Portfolio Risk with Selected Revaluation. 2010.
  
  
• Fries, Christian P.; Kienitz, Jörg: Monte-Carlo Simulation with Boundary Conditions (with Applications to Stress Testing, CEV and Variance-Gamma Simulation). 2010.
  
  
• Fries, Christian P.; Kampen, Jörg: On a class of Semi-Elliptic Diffusion Models. Part I: a constructive analytical approach for global solutions, densities and numerical schemes with applications to the LIBOR Market Model. (2010)
  
  
• Fries, Christian P.; Eckstädt, Fabian: A Hybrid Markov-Functional Model with Simultaneous Calibration to Interest Rate and FX Smile.
  Quantitative Finance, Volume 11, Number 4, April 2011, pp. 587-597(11).
  
  
• Fries, Christian P.: Stable Monte-Carlo Sensitivities for Bermudan Callable Products. (2009)
  
  
• Fries, Christian P.; Mark, Joshi S.: Perturbation Stable Conditional Analytic Monte-Carlo Pricing Scheme for Auto-Callable Products.
  International Journal of Theoretical and Applied Finance (IJTAF), 197-219, March 2011.
  
  
• Croitoru, Cristian; Fries, Christian; Jaeger, Willi; Kampen, Jörg; Nonnenmacher, Dirk Jens: On the Dynamics of the Forward Interest Rate Curve and the Evaluation of Interest Rate Derivatives and their Sensitivities. Springer, 2008, ISBN 978-3-540-77202-6.
  
  
• Fries, Christian P.: Localized Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks. (2007)
  
  
• Fries, Christian P.; Joshi, Mark S.: Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks.
  Journal of Computational Finance, 12-1. 2008.
  
  
• Fries, Christian P.; Kampen, Jörg: Proxy Simulation Schemes for generic robust Monte-Carlo sensitivities, process oriented importance sampling and high accuracy drift approximation.
  Journal of Computational Finance, 10-2. 2006.
  
  
• Fries, Christian P.: Markov Functional Modeling of Equity, Commodity and other Assets. (2006)
  
  
• Fries, Christian P.: Foresight Bias and Suboptimality Correction in Monte-Carlo Pricing of Options with Early Exercise. In: Bonilla, L.L.; Moscoso, M.; Platero, G.; Vega, J.M. (Eds.): Progress in Industrial Mathematics at ECMI 2006. Springer, 2008.
  
  
• Fries, Christian P.: A Short Note on the Regularization of the Diffusion Matrix for the Euler Scheme of an SDE. Working Paper. (2006)
  
  
• Fries, Christian P.: Bumping the Model: Generic robust Monte-Carlo Sensitivities using the Proxy Simulation Scheme Method. (2005)
  
  
• Fries, Christian P.: The Foresight Bias in Monte-Carlo Pricing of Options with Early Exercise: Classification, Calculation and Removal. (2005)
  
  
• Rott, Marius G.; Fries, Christian P.: Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation. (2005)
  
  
• Fries, Christian P.; Rott, Marius G.: Cross Currency and Hybrid Markov Functional Models. (2004)
  
  

• Monte Carlo Pricing of Bermudan Options: Correction of super-optimal an sub-optimal exercise.
  Talk given July 12, 2006 at Risk Quant Congress USA 2006 - 12-13 July 2006 - New York, USA.
  
  
• Proxy Simulation Schemes for Generic Robust Monte Carlo Sensitivities and High-Accuracy Drift Approximation with Applications to the LIBOR Market Model.
  Talk given December 16, 2005 at Quantitative Methods in Finance - 14-17 December 2005 - Sydney, Australia.
  
  
• Cross Currency LIBOR Models: Backward versus Forward Algorithm (An introduction to the Cross Currency Markov Functional Model)
  Talk given November 13, 2004 at "4. Kölner Workshop 'Quantitative Finanzmarktforschung'", University of Cologne.
  
  
• Bewertung von Zinsderivaten. (in German - at least partly) (Animation (QuickTme))
  Talk given July 27, 2003 at University of Mainz.
  
  
• Evolution of the Interest Rate Curve under a Multi-Factor LIBOR Market Model (Animation (QuickTime))
  This short movie shows some sample path of a LIBOR Market Model using one to five driving factors.
  
  

• 2003/2004: Bewertungsmodelle für Zinsderivate: Theorie, Modellierung, Implementierung. 2003/2004.
  Im Rahmen eines Lehrauftrages an der Universität Mainz (as Lecturer at Univerity of Mainz).
• 2004/2005: Finanzmathematik: Bewertungsmodelle für Zinsderivate: Theorie, Modellierung, Implementierung. 2004/2005.
  Im Rahmen eines Lehrauftrages an der Universität Frankfurt (as Lecturer at Univerity of Frankfurt)
• 2005/2006: Finanzmathematik: Theorie, Modellierung, Implementierung: Berwertungsmethoden in Theorie und Praxis. 2005/2006
  Im Rahmen eines Lehrauftrages an der Universität Frankfurt (as Lecturer at Univerity of Frankfurt)

• Kohl-Landgraf, Peter: PDE Valuation of Interest Rate Derivatives. Diploma Thesis. University of Bayreuth, 2007, ISBN 3-833-49537-5.
• Eckstädt, Fabian: The valuation of Hybrid Options with a two dimensional Markov-Functional Model. Diploma Thesis. University of Bielefeld, 2006.
• Meister, Markus: Smile Modeling in the LIBOR Market Model. Diploma Thesis. University of Karlsruhe, 2004. [PDF, 1MB]
• Ferber, Christian: Bewertung von Bermudan Optionen im LIBOR Market Modell. Diplomarbeit in Mathematik. Universität Mainz, 2003.
• Genheimer, Frank: A Two Factor Markov Functional Model for Pricing Interest Rate Derivatives. Diploma Thesis in Mathematics. University of Mainz, 2003. [Table of Contents]

• finMath.net