Luis Ortiz-Gracia
Title
Cited by
Cited by
Year
A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
L Ortiz-Gracia, CW Oosterlee
SIAM Journal on Scientific Computing 38 (1), B118-B143, 2016
462016
Robust pricing of European options with wavelets and the characteristic function
L Ortiz-Gracia, CW Oosterlee
SIAM Journal on Scientific Computing 35 (5), B1055-B1084, 2013
412013
Haar wavelets-based approach for quantifying credit portfolio losses
JJ Masdemont, L Ortiz-Gracia
Quantitative Finance 14 (9), 1587-1595, 2014
252014
Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach
L Ortiz-Gracia, CW Oosterlee
Applied Mathematics and Computation 244, 16-31, 2014
222014
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
SC Maree, L Ortiz-Gracia, CW Oosterlee
Numerische Mathematik 136 (4), 1035-1070, 2017
212017
Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
G Colldeforns-Papiol, L Ortiz-Gracia, CW Oosterlee
Applied Numerical Mathematics 117, 115-138, 2017
162017
Peaks and jumps reconstruction with B-splines scaling functions
L Ortiz-Gracia, JJ Masdemont
Journal of Computational and applied mathematics 272, 258-272, 2014
142014
Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation
L Ortiz-Gracia, J Masdemont
Journal of Computational Finance, 2011
122011
A dimension reduction Shannon-wavelet based method for option pricing
DM Dang, L Ortiz-Gracia
Journal of Scientific Computing 75 (2), 733-761, 2018
102018
On the data-driven COS method
Á Leitao, CW Oosterlee, L Ortiz-Gracia, SM Bohte
Applied Mathematics and Computation 317, 68-84, 2018
10*2018
SWIFT valuation of discretely monitored arithmetic Asian options
A Leitao, L Ortiz-Gracia, EI Wagner
Journal of computational science 28, 120-139, 2018
92018
The CTMC–Heston Model: Calibration and Exotic Option Pricing With SWIFT
A Leitao Rodriguez, J Lars Kirkby, L Ortiz-Gracia
Journal of Computational Finance 24 (4), 2021
62021
Computation of market risk measures with stochastic liquidity horizon
G Colldeforns-Papiol, L Ortiz-Gracia
Journal of Computational and Applied Mathematics 342, 431-450, 2018
62018
A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
E Berthe, DM Dang, L Ortiz-Gracia
Applied Numerical Mathematics 136, 1-22, 2019
52019
Model-free computation of risk contributions in credit portfolios
Á Leitao, L Ortiz-Gracia
Applied Mathematics and Computation 382, 125351, 2020
22020
Expected shortfall computation with multiple control variates
L Ortiz-Gracia
Applied Mathematics and Computation 373, 125018, 2020
22020
Quantifying credit portfolio losses under multi-factor models
G Colldeforns-Papiol, L Ortiz-Gracia, CW Oosterlee
International Journal of Computer Mathematics 96 (11), 2135-2156, 2019
22019
Practitioner's Guide on the Use of Cloud Computing in Finance
B Lin, R Wehkamp, J Kanniainen
Available at SSRN 2697583, 2017
2*2017
Extended Abstracts Summer 2015: Strategic Behavior in Combinatorial Structures; Quantitative Finance
J Díaz, L Kirousis, L Ortiz-Gracia, M Serna
Birkhäuser, 2017
22017
SWIFT calibration of the Heston model
E Romo, L Ortiz-Gracia
Mathematics 9 (5), 529, 2021
2021
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Articles 1–20