Luis Ortiz-Gracia

According to our database, Luis Ortiz-Gracia authored at least 14 papers between 2013 and 2023.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2023

Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code).

Alessandra Aimi, Chiara Guardasoni, Luis Ortiz-Gracia, Simona Sanfelici

Comput. Methods Appl. Math., April, 2023

2020

Expected shortfall computation with multiple control variates.

Luis Ortiz-Gracia

Appl. Math. Comput., 2020

Model-free computation of risk contributions in credit portfolios.

Álvaro Leitao, Luis Ortiz-Gracia

Appl. Math. Comput., 2020

2019

Quantifying credit portfolio losses under multi-factor models.

Gemma Colldeforns-Papiol, Luis Ortiz-Gracia, Cornelis W. Oosterlee

Int. J. Comput. Math., 2019

2018

A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing.

Duy-Minh Dang, Luis Ortiz-Gracia

J. Sci. Comput., 2018

SWIFT valuation of discretely monitored arithmetic Asian options.

Álvaro Leitao, Luis Ortiz-Gracia, Emma I. Wagner

J. Comput. Sci., 2018

Computation of market risk measures with stochastic liquidity horizon.

Gemma Colldeforns-Papiol, Luis Ortiz-Gracia

J. Comput. Appl. Math., 2018

On the data-driven COS method.

Álvaro Leitao, Cornelis W. Oosterlee, Luis Ortiz-Gracia, Sander M. Bohté

Appl. Math. Comput., 2018

2017

Pricing early-exercise and discrete barrier options by Shannon wavelet expansions.

S. C. Maree, Luis Ortiz-Gracia, Cornelis W. Oosterlee

Numerische Mathematik, 2017

2016

A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options.

Luis Ortiz-Gracia, Cornelis W. Oosterlee

SIAM J. Sci. Comput., 2016

Efficient wavelets-based valuation of synthetic CDO tranches.

Luis Ortiz-Gracia

J. Comput. Appl. Math., 2016

2014

Peaks and jumps reconstruction with B-splines scaling functions.

Luis Ortiz-Gracia, Josep J. Masdemont

J. Comput. Appl. Math., 2014

Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach.

Luis Ortiz-Gracia, Cornelis W. Oosterlee

Appl. Math. Comput., 2014

2013

Robust Pricing of European Options with Wavelets and the Characteristic Function.

Luis Ortiz-Gracia, Cornelis W. Oosterlee

SIAM J. Sci. Comput., 2013