Christian P. Fries

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Papers (2)

1. Replication-Consistent Liquidity Forecasting for Derivatives -- Forward Funding Sensitivities and a Liquidity Valuation Adjustment for Settlement Lags q-fin.PR · 2026 · author #1
2. Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation) q-fin.CP · 2017 · author #1

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