Luis Ortiz-Gracia

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

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

Research outcomes over time

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