Computation of market risk measures with stochastic liquidity horizon. - Gemma Colldeforns-Papiol; Luis Ortiz-Gracia (J. Comput. Appl. Math., 2018)

Quantifying credit portfolio losses under multi-factor models. - Gemma Colldeforns-Papiol; Luis Ortiz-Gracia; Cornelis W. Oosterlee (Int. J. Comput. Math., 2019)