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Christian Fries


This is information that was supplied by Christian Fries in registering through RePEc. If you are Christian Fries , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Christian
Middle Name:
Last Name: Fries

RePEc Short-ID: pfr89

Postal Address:



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Working papers

  1. 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.
  2. Christian Fries & Joerg Kampen, 2010. "Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems," Papers 1002.5031,, revised Oct 2012.
  3. Christian P. Fries & Joerg Kampen, 2005. "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)," Finance, EconWPA 0504010, EconWPA.
  4. Christian Fries, 2005. "The Foresight Bias in Monte-Carlo Pricing of Options with Early," Finance, EconWPA 0511002, EconWPA, revised 08 Nov 2005.


  1. 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., World Scientific Publishing Co. Pte. Ltd., vol. 14(02), pages 197-219.
  2. 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, Taylor & Francis Journals, vol. 11(4), pages 587-597.

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (2) 2005-04-16 2005-11-05. Author is listed
  2. NEP-FIN: Finance (1) 2005-11-05. Author is listed
  3. NEP-FMK: Financial Markets (1) 2005-11-05. Author is listed


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