Luis Ortiz-Gracia

15 papers Journal 15
YearRankTypeTitle / Venue / Authors
2024 J jnl
Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation.
Math. Comput. Simul.
Augusto Blanc-Blocquel, Luis Ortiz-Gracia, Rodolfo Oviedo
2023 J jnl
Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code).
Comput. Methods Appl. Math.
Alessandra Aimi, Chiara Guardasoni, Luis Ortiz-Gracia, Simona Sanfelici
2020 J jnl
Expected shortfall computation with multiple control variates.
Appl. Math. Comput.
Luis Ortiz-Gracia
2020 J jnl
Model-free computation of risk contributions in credit portfolios.
Appl. Math. Comput.
Álvaro Leitao, Luis Ortiz-Gracia
2019 J jnl
Quantifying credit portfolio losses under multi-factor models.
Int. J. Comput. Math.
Gemma Colldeforns-Papiol, Luis Ortiz-Gracia, Cornelis W. Oosterlee
2018 J jnl
A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing.
J. Sci. Comput.
Duy-Minh Dang, Luis Ortiz-Gracia
2018 J jnl
Computation of market risk measures with stochastic liquidity horizon.
J. Comput. Appl. Math.
Gemma Colldeforns-Papiol, Luis Ortiz-Gracia
2018 J jnl
On the data-driven COS method.
Appl. Math. Comput.
Álvaro Leitao, Cornelis W. Oosterlee, Luis Ortiz-Gracia, Sander M. Bohté
2018 J jnl
SWIFT valuation of discretely monitored arithmetic Asian options.
J. Comput. Sci.
Álvaro Leitao, Luis Ortiz-Gracia, Emma I. Wagner
2017 J jnl
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions.
Numerische Mathematik
S. C. Maree, Luis Ortiz-Gracia, Cornelis W. Oosterlee
2016 J jnl
A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options.
SIAM J. Sci. Comput.
Luis Ortiz-Gracia, Cornelis W. Oosterlee
2016 J jnl
Efficient wavelets-based valuation of synthetic CDO tranches.
J. Comput. Appl. Math.
Luis Ortiz-Gracia
2014 J jnl
Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach.
Appl. Math. Comput.
Luis Ortiz-Gracia, Cornelis W. Oosterlee
2014 J jnl
Peaks and jumps reconstruction with B-splines scaling functions.
J. Comput. Appl. Math.
Luis Ortiz-Gracia, Josep J. Masdemont
2013 J jnl
Robust Pricing of European Options with Wavelets and the Characteristic Function.
SIAM J. Sci. Comput.
Luis Ortiz-Gracia, Cornelis W. Oosterlee