Robust Pricing of European Options with Wavelets and the Characteristic Function. - Luis Ortiz-Gracia; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2013)

Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach. - Luis Ortiz-Gracia; Cornelis W. Oosterlee (Appl. Math. Comput., 2014)

Peaks and jumps reconstruction with B-splines scaling functions. - Luis Ortiz-Gracia; Josep J. Masdemont (J. Comput. Appl. Math., 2014)

Efficient wavelets-based valuation of synthetic CDO tranches. - Luis Ortiz-Gracia (J. Comput. Appl. Math., 2016)

A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options. - Luis Ortiz-Gracia; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2016)

Pricing early-exercise and discrete barrier options by Shannon wavelet expansions. - S. C. Maree; Luis Ortiz-Gracia; Cornelis W. Oosterlee (Numerische Mathematik, 2017)

On the data-driven COS method. - Álvaro Leitao; Cornelis W. Oosterlee; Luis Ortiz-Gracia; Sander M. Bohté (Appl. Math. Comput., 2018)

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

SWIFT valuation of discretely monitored arithmetic Asian options. - Álvaro Leitao; Luis Ortiz-Gracia; Emma I. Wagner (J. Comput. Sci., 2018)

A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing. - Duy-Minh Dang; Luis Ortiz-Gracia (J. Sci. Comput., 2018)

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

Model-free computation of risk contributions in credit portfolios. - Álvaro Leitao; Luis Ortiz-Gracia (Appl. Math. Comput., 2020)

Expected shortfall computation with multiple control variates. - Luis Ortiz-Gracia (Appl. Math. Comput., 2020)

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., 2023)

Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation. - Augusto Blanc-Blocquel; Luis Ortiz-Gracia; Rodolfo Oviedo (Math. Comput. Simul., 2024)