Luis Ortiz-Gracia

Publication Activity (10 Years)

Years Active: 2013-2024
Publications (10 Years): 12

Top Topics

Top Venues

Appl. Math. Comput.

J. Comput. Appl. Math.

Math. Comput. Simul.

J. Comput. Sci.

Publications

Augusto Blanc-Blocquel, Luis Ortiz-Gracia, Rodolfo Oviedo
Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation. Math. Comput. Simul. 225 (2024)
Alessandra Aimi, Chiara Guardasoni, Luis Ortiz-Gracia, Simona Sanfelici
Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code). Comput. Methods Appl. Math. 23 (2) (2023)
Álvaro Leitao, Luis Ortiz-Gracia
Model-free computation of risk contributions in credit portfolios. Appl. Math. Comput. 382 (2020)
Luis Ortiz-Gracia
Expected shortfall computation with multiple control variates. Appl. Math. Comput. 373 (2020)
Gemma Colldeforns-Papiol, Luis Ortiz-Gracia, Cornelis W. Oosterlee
Quantifying credit portfolio losses under multi-factor models. Int. J. Comput. Math. 96 (11) (2019)
Duy-Minh Dang, Luis Ortiz-Gracia
A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing. J. Sci. Comput. 75 (2) (2018)
Álvaro Leitao, Cornelis W. Oosterlee, Luis Ortiz-Gracia, Sander M. Bohté
On the data-driven COS method. Appl. Math. Comput. 317 (2018)
Gemma Colldeforns-Papiol, Luis Ortiz-Gracia
Computation of market risk measures with stochastic liquidity horizon. J. Comput. Appl. Math. 342 (2018)
Álvaro Leitao, Luis Ortiz-Gracia, Emma I. Wagner
SWIFT valuation of discretely monitored arithmetic Asian options. J. Comput. Sci. 28 (2018)
S. C. Maree, Luis Ortiz-Gracia, C. W. Oosterlee
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions. Numerische Mathematik 136 (4) (2017)
Luis Ortiz-Gracia
Efficient wavelets-based valuation of synthetic CDO tranches. J. Comput. Appl. Math. 292 (2016)
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)
Luis Ortiz-Gracia, Josep J. Masdemont
Peaks and jumps reconstruction with B-splines scaling functions. J. Comput. Appl. Math. 272 (2014)
Luis Ortiz-Gracia, Cornelis W. Oosterlee
Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach. Appl. Math. Comput. 244 (2014)
Luis Ortiz-Gracia, Cornelis W. Oosterlee
Robust Pricing of European Options with Wavelets and the Characteristic Function. SIAM J. Sci. Comput. 35 (5) (2013)