Christian Fries is head of model development at DZ Bank’s risk control and Professor for Applied Mathematical Finance at Department of Mathematics, LMU Munich.
His current research interests are hybrid interest rate models, Monte Carlo methods, and valuation under funding and counterparty risk. His papers and lecture notes may be downloaded from http://www.christian-fries.de/finmath
He is the author of “Mathematical Finance: Theory, Modeling, Implementation”, Wiley, 2007 and runs www.finmath.net.
Introducing deterministic termination rules to eliminate counterparty risk in smart derivatives
Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)
In this paper, the author applies stochastic (backward) automatic differentiation to calculate stochastic forward sensitivities.