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Luis Ortiz-Gracia
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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
722016
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
572013
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
SC Maree, L Ortiz-Gracia, CW Oosterlee
Numerische Mathematik 136, 1035-1070, 2017
302017
Haar wavelets-based approach for quantifying credit portfolio losses
JJ Masdemont, L Ortiz-Gracia
Quantitative Finance 14 (9), 1587-1595, 2014
272014
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
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
192017
SWIFT valuation of discretely monitored arithmetic Asian options
A Leitao, L Ortiz-Gracia, EI Wagner
Journal of computational science 28, 120-139, 2018
162018
On the data-driven COS method
Á Leitao, CW Oosterlee, L Ortiz-Gracia, SM Bohte
Applied Mathematics and Computation 317, 68-84, 2018
152018
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
132011
A dimension reduction Shannon-wavelet based method for option pricing
DM Dang, L Ortiz-Gracia
Journal of Scientific Computing 75, 733-761, 2018
122018
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
112021
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
102019
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
72018
SWIFT calibration of the Heston model
E Romo, L Ortiz-Gracia
Mathematics 9 (5), 529, 2021
42021
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
42019
Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
A Aimi, C Guardasoni, L Ortiz-Gracia, S Sanfelici
Computational Methods in Applied Mathematics 23 (2), 301-331, 2023
32023
Model-free computation of risk contributions in credit portfolios
Á Leitao, L Ortiz-Gracia
Applied Mathematics and Computation 382, 125351, 2020
32020
Expected shortfall computation with multiple control variates
L Ortiz-Gracia
Applied Mathematics and Computation 373, 125018, 2020
22020
Fourier and wavelet option pricing methods
SC Maree, L Ortiz-Gracia, CW Oosterlee
High-Performance Computing in Finance, 249-272, 2018
22018
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