996 reputation
29
bio website christian-fries.de
location Germany
age
visits member for 1 year, 3 months
seen Dec 6 '13 at 14:30

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
revised What's the algorithm behind Excel's ACCRINT?
added 246 characters in body
Aug
31
revised Question about option theta
edited body
Jul
21
revised How to calculate return rates with negative prices?
Texed it
May
27
revised Matlab; How to specify Coupon frequency for Interest Rate Swap
added 126 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
revised How to use Itô's formula to deduce that a stochastic process is a martingale?
added 55 characters in body
May
13
revised Quadratic variation quesiton
added 198 characters in body
May
11
revised how to derive yield curve from interest rate swap?
added 1 characters in body
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
6
revised Is vega of Black-Scholes European type option always positive?
added 394 characters in body
Apr
22
revised Longstaff-Schwartz (Least Squares Monte Carlo) applied to American Options
added 81 characters in body
Apr
22
revised Longstaff-Schwartz (Least Squares Monte Carlo) applied to American Options
added 11 characters in body
Mar
2
revised Cross Currency Swap Pricing in nowadays environment
added 1 characters in body
Feb
26
revised How to hedge the fixed leg of a swap contract?
edited body
Feb
14
revised Implementing nonlinear optimization to find model free implied volatility using Matlab
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Jan
28
revised Simulation of GBM
added 15 characters in body
Jan
28
revised Simulation of GBM
added 48 characters in body
Jan
28
revised Simulation of GBM
deleted 7 characters in body
Jan
26
revised How to quickly sketch a second order greek profile for a vanilla position?
added 22 characters in body