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Luis Ortiz-Gracia
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2020 – today
- 2024
- [j15]Augusto Blanc-Blocquel
, Luis Ortiz-Gracia
Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation. Math. Comput. Simul. 225: 430-445 (2024) - 2023
- [j14]Alessandra Aimi
Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code). Comput. Methods Appl. Math. 23(2): 301-332 (2023) - 2020
- [j13]Luis Ortiz-Gracia:
Expected shortfall computation with multiple control variates. Appl. Math. Comput. 373: 125018 (2020) - [j12]Álvaro Leitao
Model-free computation of risk contributions in credit portfolios. Appl. Math. Comput. 382: 125351 (2020)
2010 – 2019
- 2019
- [j11]Gemma Colldeforns-Papiol, Luis Ortiz-Gracia, Cornelis W. Oosterlee
Quantifying credit portfolio losses under multi-factor models. Int. J. Comput. Math. 96(11): 2135-2156 (2019) - 2018
- [j10]Álvaro Leitao
On the data-driven COS method. Appl. Math. Comput. 317: 68-84 (2018) - [j9]Gemma Colldeforns-Papiol, Luis Ortiz-Gracia:
Computation of market risk measures with stochastic liquidity horizon. J. Comput. Appl. Math. 342: 431-450 (2018) - [j8]Álvaro Leitao
SWIFT valuation of discretely monitored arithmetic Asian options. J. Comput. Sci. 28: 120-139 (2018) - [j7]Duy-Minh Dang
A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing. J. Sci. Comput. 75(2): 733-761 (2018) - 2017
- [j6]S. C. Maree, Luis Ortiz-Gracia, Cornelis W. Oosterlee
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions. Numerische Mathematik 136(4): 1035-1070 (2017) - 2016
- [j5]Luis Ortiz-Gracia:
Efficient wavelets-based valuation of synthetic CDO tranches. J. Comput. Appl. Math. 292: 562-575 (2016) - [j4]Luis Ortiz-Gracia, Cornelis W. Oosterlee
A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options. SIAM J. Sci. Comput. 38(1) (2016) - 2014
- [j3]Luis Ortiz-Gracia, Cornelis W. Oosterlee
Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach. Appl. Math. Comput. 244: 16-31 (2014) - [j2]Luis Ortiz-Gracia, Josep J. Masdemont:
Peaks and jumps reconstruction with B-splines scaling functions. J. Comput. Appl. Math. 272: 258-272 (2014) - 2013
- [j1]Luis Ortiz-Gracia, Cornelis W. Oosterlee
Robust Pricing of European Options with Wavelets and the Characteristic Function. SIAM J. Sci. Comput. 35(5) (2013)
Coauthor Index
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