Luis Ortiz-Gracia

Available identifiers

zbMath Open ortiz-gracia.luisMaRDI QIDQ278287

List of research outcomes

Publication	Date of Publication	Type
Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)	2023-07-04	Paper
Hedging at-the-money digital options near maturity	2023-07-04	Paper
Quantifying credit portfolio losses under multi-factor models	2022-02-16	Paper
Model-free computation of risk contributions in credit portfolios	2020-06-04	Paper
Expected shortfall computation with multiple control variates	2020-02-05	Paper
On the data-driven COS method	2019-06-21	Paper
A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model	2018-12-19	Paper
Computation of market risk measures with stochastic liquidity horizon	2018-06-13	Paper
A dimension reduction Shannon-wavelet based method for option pricing	2018-06-01	Paper
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions	2017-09-29	Paper
Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options	2017-05-29	Paper
Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach	2016-05-02	Paper
A highly efficient Shannon wavelet inverse Fourier technique for pricing European options	2016-01-27	Paper
Efficient wavelets-based valuation of synthetic CDO tranches	2015-09-09	Paper
Haar wavelets-based approach for quantifying credit portfolio losses	2015-04-16	Paper
Peaks and jumps reconstruction with \(B\)-splines scaling functions	2014-07-25	Paper
Robust pricing of European options with wavelets and the characteristic function	2014-01-21	Paper

Research outcomes over time

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