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.)

Sep
19
asked Which method is implemented by Excel's YEARFRAC for ACT/ACT?
Aug
31
answered Question about option theta
Aug
15
answered Black model - volatility estimation
Jul
21
answered How to calculate return rates with negative prices?
Jul
13
answered The reason behind the selection of a 1 standard deviation movement for self financing delta hedge
Jun
29
answered Stock prices using a monte carlo simulation with a normal inverse gauss distribution
May
27
answered Matlab; How to specify Coupon frequency for Interest Rate Swap
May
16
answered How to use Itô's formula to deduce that a stochastic process is a martingale?
May
11
answered Quadratic variation question
May
11
answered how to derive yield curve from interest rate swap?
May
4
answered Is vega of Black-Scholes European type option always positive?
Apr
26
answered Convexity adjustment for a forward swap rate
Apr
22
answered Longstaff-Schwartz (Least Squares Monte Carlo) applied to American Options
Feb
25
answered How to hedge the fixed leg of a swap contract?
Feb
19
answered Upper bound concerning Snell envelope
Feb
14
answered Implementing nonlinear optimization to find model free implied volatility using Matlab
Feb
8
answered Why doesn't a simulated delta hedging process go to zero?
Feb
1
answered How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
Jan
28
answered Simulation of GBM
Jan
26
answered How to quickly sketch a second order greek profile for a vanilla position?