Christian Fries

901 reputation

bio	website	christian-fries.de
	location	Germany
	age
visits	member for	4 months
	seen	3 hours ago
stats	profile views	95

See my homepage for some info about me.

Some of my projects:

finmath.net A Java library and spreadsheets with algorithms related to Mathematical Finance (e.g., curve calibration, Monte-Carlo simulation, Bermudan option pricing, American Monte-Carlo).
Obba A middleware to seamlessly use Java/Scala libraries from spreadsheets. Allows to use any Java library as a spreadsheet add-in.
Mathematical Finance (a book on some topics in m.f.)

	901 reputation	bio	website	christian-fries.de	visits	member for	4 months
16 badges		location	Germany		seen	3 hours ago

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May 16	revised	How to use Itô's formula to deduce that a stochastic process is a martingale? added 55 characters in body
May 16	revised	How to use Itô's formula to deduce that a stochastic process is a martingale? added 55 characters in body
May 16	answered	How to use Itô's formula to deduce that a stochastic process is a martingale?
May 13	revised	Quadratic variation quesiton added 198 characters in body
May 13	comment	Quadratic variation quesiton Ito actually tells you that $d(B^2) = BdB + BdB + dt$. So ii) might mean: Proof it using Ito, while iii) means proof it in an elemantary by repeating the proof of Ito for the special case of $B^2$.
May 11	revised	how to derive yield curve from interest rate swap? added 1 characters in body
May 11	comment	Quadratic variation quesiton Please change the title of this "question" (currently being "Exercise on stochastic calculus" to s.th. meaningful (e.g. use words like "Ito formula" and "Quatratic Variation").
May 11	answered	Quadratic variation quesiton
May 11	revised	how to derive yield curve from interest rate swap? added 37 characters in body
May 11	revised	how to derive yield curve from interest rate swap? added 3 characters in body
May 11	answered	how to derive yield curve from interest rate swap?
May 6	comment	Is vega of Black-Scholes European type option always positive? I added a remark on general payoffs to my answer. With respect to your comment: assuming that the pay off is positive does not help. Vega is not about level or slope, it is about convexity. It would depend on WHERE your payoff is convex and WHERE it is concave. And how strong convextiy is depending on the underlying.
May 6	revised	Is vega of Black-Scholes European type option always positive? added 394 characters in body
May 5	comment	What does it mean to adjust for short-run liquidity in finding risk-free rate of return Can you give a reference for this? Did you read this somewhere?
May 4	answered	Is vega of Black-Scholes European type option always positive?
Apr 26	comment	Convexity adjustment for a forward swap rate OK. If this is about swap futures, then he should be more precise...
Apr 26	comment	Convexity adjustment for a forward swap rate The convexity adjustment needed for futures comes from the margining applied to the (undiscounted) future price. In contrast, swaps are collateralized by discounted value, such that a future-like convexity adjustment does not apply. However, if a forward swap rate is paid in an unnatural way (like in a CMS), a convexity adjustment applies.
Apr 26	answered	Convexity adjustment for a forward swap rate
Apr 26	comment	Convexity adjustment for a forward swap rate The question in this form is incomplete. The swap rate alone does not need any convexity adjustment. You have to specify how this rate is paid.
Apr 22	revised	Longstaff-Schwartz (Least Squares Monte Carlo) applied to American Options added 81 characters in body