1,026 reputation
211
bio website christian-fries.de
location Germany
age
visits member for 1 year, 9 months
seen Jun 6 at 19:18

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.)

Feb
8
awarded  Informed
Feb
8
answered Why doesn't a simulated delta hedging process go to zero?
Feb
1
awarded  Commentator
Feb
1
answered How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
Jan
28
revised Simulation of GBM
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Jan
28
comment Simulation of GBM
One can view his equation as the Euler scheme for log(S). In that case discretization and exact soluation have no difference! The reason why one has to go in discrete steps in the way to generate W(t) from i.i.d. random variables.
Jan
28
revised Simulation of GBM
added 48 characters in body
Jan
28
comment Simulation of GBM
@gu7z Yes. In the formulation $W(t_j)−W(t_{j−1}) = Z_j$ the $Z_j$ is a normal distributed random variable with mean zero and variance $t_{j}-t_{j-1}$. But since I wrote that the Z_j are i.i.d. we have indeed to rescale them and write $W(t_j)−W(t_{j−1}) = \sqrt{t_{j}-t_{j-1}} Z_j$ (or otherwise assume equidistributed time stepping. I corrected that in my post!
Jan
28
revised Simulation of GBM
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Jan
28
answered Simulation of GBM
Jan
26
revised How to quickly sketch a second order greek profile for a vanilla position?
added 22 characters in body
Jan
26
answered How to quickly sketch a second order greek profile for a vanilla position?
Jan
23
awarded  Critic
Jan
22
revised How to avoid having negative volatility when applying Heston model?
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Jan
22
answered How to avoid having negative volatility when applying Heston model?
Jan
22
comment How to avoid having negative volatility when applying Heston model?
The Heston model does not generate negative volatility, but an Euler discretization does. It is not a problem of the model. It is a problem of the numerical scheme.
Jan
21
comment What's the algorithm behind Excel's ACCRINT?
I have a simplified implementation of the Excel PRICE function in Java here: obba.info/tutorial/priceandyield - here simplified means that I did not implement exact daycounting. Don't know if that helps.
Jan
21
answered What's the algorithm behind Excel's ACCRINT?
Jan
20
revised What are the advantages/disadvantages of these approaches to deal with volatility surface?
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Jan
19
answered What are the advantages/disadvantages of these approaches to deal with volatility surface?