Christian Fries

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921 reputation
16
bio website christian-fries.de
location Germany
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visits member for 5 months
seen 10 hours ago
stats profile views 102

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.)

25 Answers

newest activity votes
1
Matlab; How to specify Coupon frequency for Interest Rate Swap
may 27 at 8:05
2
How to use Itô's formula to deduce that a stochastic process is a martingale?
may 16 at 9:27
2
Quadratic variation quesiton
may 11 at 18:36
1
how to derive yield curve from interest rate swap?
may 11 at 15:31
5
Is vega of Black-Scholes European type option always positive?
may 4 at 15:18
0
Convexity adjustment for a forward swap rate
apr 26 at 18:28
1
Longstaff-Schwartz (Least Squares Monte Carlo) applied to American Options
apr 22 at 12:20
0
How to hedge the fixed leg of a swap contract?
feb 25 at 16:57
3
Upper bound concerning Snell envelope
feb 19 at 12:18
4
Implementing nonlinear optimization to find model free implied volatility using Matlab
feb 14 at 12:31
6
Why doesn't a simulated delta hedging process go to zero?
feb 8 at 22:15
2
How to derive the formula of a European Libor call option in a Libor Market Model?
feb 8 at 9:12
1
What is the relationship between Forward measures and LMM?
feb 5 at 9:29
4
How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
feb 1 at 11:02
4
Pricing in HJM framework
jan 31 at 22:01
3
Simulation of GBM
jan 28 at 12:37
4
How to quickly sketch a second order greek profile for a vanilla position?
jan 26 at 9:14
4
Avoiding negative volatility when applying Heston model
jan 22 at 10:55
1
What's the algorithm behind Excel's ACCRINT?
jan 21 at 9:42
4
What are the advantages/disadvantages of these approaches to deal with volatility surface?
jan 19 at 18:02
2
Choice of epsilon for numerical calculation of vega in binomial option pricing model
jan 16 at 19:51
5
Derive a short rate model from HJM
jan 15 at 23:02
1
Longstaff Schwartz method
jan 5 at 21:40
2
Cross Currency Swap Pricing in nowadays environment
jan 5 at 16:37
1
Rationale for OIS discounting for collateralized derivatives?
jan 5 at 9:52