Christian Fries is head of model development at DZ Bank’s risk control and Professor for Applied Mathematical Finance at Department of Mathematics, LMU Munich.

His current research interests are hybrid interest rate models, Monte Carlo methods, and valuation under funding and counterparty risk. His papers and lecture notes may be downloaded from http://www.christian-fries.de/finmath

He is the author of “Mathematical Finance: Theory, Modeling, Implementation”, Wiley, 2007 and runs www.finmath.net.

For current teaching events see Teaching

  • An analytic pricing framework for financial assets with trading suspensions
    Torricelli, L. , Fries, C. ,
    Submitted to SIFIN, 2018 (PDF, 510 KB)
  • Stochastic Automatic Differentiation: Efficient Tapeless Implementation of Automatic Differentiation for Monte-Carlo Simulations
    Fries, C. , Sedlmair, S. ,
    The Journal of Risk, 2017 (SSRN link)
  • Collateralization and Funding Valuation Adjustments (FVA) for Total Return Swaps
    Fries, C. , Lichtner, M. ,
    Preprint, 2014 (PDF, 352 KB)
  • Extension of Normed Call Prices for Negative Strikes and Forwards
    Fries, C. , Gopa, P. ,
    Preprint, 2013 (PDF, 407 KB)
  • Displaced Historical Simulation is a Solution for Negative-Valued Financial Risk Values: Application to VaR in Times of Negative Government Bond Yields
    Fries, C. , Nigbur, T. , Seeger, N. ,
    Preprint, 2013 (PDF, 451 KB)
  • Curves and Term Structure Models: Definition, Calibration and Application of Rate Curves and Term Structure Models
    Fries, C. ,
    Preprint, 2013 (PDF, 353 KB)
  • Volatility surface interpolation on probability space using normed call prices
    Gope, P. , Fries, C. ,
    Preprint, 2011 (Link to SSRN pre-print)
  • Funded replication: Valuing with stochastic funding
    Fries, C. ,
    Preprint, 2011 (Link to SSRN pre-print)
  • Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
    Fries, C. , Mark, J. ,
    International Journal of Theoretical and Applied Finance 14(2), 197-219, 2011 (Link to SSRN pre-print)
  • A hybrid Markov-functional model with simultaneous calibration to interest rate and FX smile
    Fries, C. , Eckstädt, F. ,
    Quantitative Finance 11(4), 587-597, 2011 (Link to SSRN pre-print)
  • Stressed in Monte-Carlo
    Fries, C. ,
    Risk Magazine, March 2011 (Link to article)
  • Portfolio risk with selected revaluation
    Fries, C. ,
    Preprint, 2010 (Link to SSRN pre-print)
  • Discounting revisited. Valuation under funding, counterparty risk and collateralization
    Fries, C. ,
    Preprint, 2010 (Link to SSRN pre-print)
  • Monte-Carlo simulation with boundary conditions (with applications to stress testing, CEV and variance-gamma simulation
    Fries, C. , Kienitz, J. ,
    Preprint, 2010 (Link to SSRN pre-print)
  • 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
    Fries, C. , Kampen, J. ,
    Preprint, 2010 (Link to SSRN pre-print)
  • Stable Monte-Carlo sensitivities for bermudan callable products
    Fries, C. ,
    Preprint, 2009 (Link to SSRN pre-print)
  • On the dynamics of the forward interest rate curve and the evaluation of interest rate derivatives and their sensitivities
    Croitoru, C. , Fries, C. , Jaeger, W. , Kampen, J. , Nonnenmacher, D. ,
    Mathematics - Key Technology for the Future, 343 - 357, Springer, Berlin, 2008 (Link to article)
  • Foresight bias and suboptimality correction in Monte-Carlo pricing of options with early exercise
    Fries, C. ,
    In: Bonilla, L.L.; Moscoso, M.; Platero, G.; Vega, J.M. (Eds.): Progress in Industrial Mathematics at ECMI 2006. Springer, 2008 (Link to article)
  • Partial proxy simulation schemes for generic and robust Monte-Carlo greeks
    Fries, C. , Mark, J. ,
    Journal of Computational Finance, 12-1, 2008 (Link to SSRN pre-print)
  • Mathematical Finance: Theory, Modeling, Implementation
    Fries, C. ,
    John Wiley & Sons, 2007 (Link to book page)
  • Localized proxy simulation schemes for generic and robust Monte-Carlo greeks
    Fries, C. ,
    Preprint, 2007 (Link to SSRN pre-print)
  • Proxy simulation schemes for generic robust Monte-Carlo sensitivities, process oriented importance sampling and high accuracy drift approximation.
    Fries, C. , Kampen, J. ,
    Journal of Computational Finance 10(2), 200 (Link to article)
  • Markov functional modeling of equity, commodity and other assets
    Fries, C. ,
    Preprint, 2006 (Link to pre-print)
  • Bumping the model: Generic robust Monte-Carlo sensitivities using the proxy simulation scheme method
    Fries, C. ,
    Preprint, 2005 (Link to pre-print)
  • The foresight bias in Monte-Carlo pricing of options with early exercise: Classification, calculation and removal
    Fries, C. ,
    Preprint, 2005 (Link to pre-print)
  • Fast and robust Monte-Carlo CDO sensitivities and their efficient object oriented implementation
    Rott, M. , Fries, C. ,
    Preprint, 2005 (Link to pre-print)
  • Cross currency and hybrid Markov functional models
    Fries, C. , Rott, M. ,
    Preprint, 2004 (Link to SSRN pre-print)

For more Publications & Preprints see Publications