Luis Ortiz-Gracia

University of Barcelona

Lecturer of Quantitative Finance

Diagonal, 690

08034 Barcelona

Spain

SCHOLARLY PAPERS

20

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3,033

SSRN CITATIONS
Rank 19,542

SSRN RANKINGS

Top 19,542

in Total Papers Citations

47

CROSSREF CITATIONS

20

Scholarly Papers (20)

1.

Credit Risk Contributions Under the Vasicek One-Factor Model: A Fast Wavelet Expansion Approximation

Journal of Computational Finance, 2011
Number of pages: 27 Posted: 24 Jan 2013
Luis Ortiz-Gracia and Josep Masdemont
University of Barcelona and Polytechnic University of Catalonia (UPC)
Downloads 331 (168,360)

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Credit risk contributions, portfolio losses, Haar wavelets

The CTMC-Heston Model: Calibration and Exotic Option Pricing with SWIFT

Number of pages: 31 Posted: 28 Oct 2019
Alvaro Leitao Rodriguez, Justin Kirkby and Luis Ortiz-Gracia
University of Coruña - Department of Mathematics - M2NICA, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and University of Barcelona
Downloads 276 (202,488)
Citation 1

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Heston Model, CTMC, Markov Chain Approximation, Regime Switching, Option Pricing, Calibration, Wavelets, SWIFT, Stochastic Volatility, Asian Options, Variance Swaps

The CTMC–Heston Model: Calibration and Exotic Option Pricing With SWIFT

Journal of Computational Finance, Vol. 24, No. 4, 2021
Number of pages: 44 Posted: 28 Apr 2021
Alvaro Leitao Rodriguez, J. Lars Kirkby and Luis Ortiz-Gracia
University of Coruña - Department of Mathematics - M2NICA, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and University of Barcelona
Downloads 2 (1,152,555)
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Heston model; continuous time Markov chain (CTMC); Markov chain approximation; regime switching; option pricing; calibration; wavelets; SWIFT; stochastic volatility; Asian options; variance swaps.

3.

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

Number of pages: 23 Posted: 28 Mar 2015 Last Revised: 29 Mar 2015
Luis Ortiz-Gracia and Cornelis W. Oosterlee
University of Barcelona and Utrecht University - Faculty of Science
Downloads 260 (216,136)
Citation 5

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Option pricing, European options, Shannon wavelets, sinus cardinal function, Fourier transform inversion

4.

Efficient VAR and Expected Shortfall Computations for Nonlinear Portfolios within the Delta-Gamma Approach

Number of pages: 24 Posted: 29 Aug 2013 Last Revised: 23 Jun 2014
Luis Ortiz-Gracia and Cornelis W. Oosterlee
University of Barcelona and Utrecht University - Faculty of Science
Downloads 249 (225,655)
Citation 5

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Market risk, delta-gamma approximation, Value-at-Risk, Expected Shortfall, Fourier transform, Haar wavelets

5.

On the Data-Driven COS Method

Applied Mathematics and Computation 317: 68-84, 2018
Number of pages: 26 Posted: 16 Feb 2017 Last Revised: 28 Oct 2018
University of Coruña - Department of Mathematics - M2NICA, Utrecht University - Faculty of Science, University of Barcelona and Center for Mathematics and Computer Science (CWI)
Downloads 226 (247,890)
Citation 4

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Fourier, Density estimation, Statistical Learning theory, Greeks

6.

Robust Pricing of European Options with Wavelets and the Characteristic Function

Number of pages: 27 Posted: 24 Jan 2013
Luis Ortiz-Gracia and Cornelis W. Oosterlee
University of Barcelona and Utrecht University - Faculty of Science
Downloads 202 (275,079)
Citation 9

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option pricing, European options, Haar wavelets, B-Spline wavelets

7.

A Shannon Wavelet Method for Pricing Foreign Exchange Options under the Heston Multi-Factor CIR Model

Number of pages: 30 Posted: 09 Sep 2017
Edouard Berthe, Duy-Minh Dang and Luis Ortiz-Gracia
University of Queensland, University of Queensland - School of Mathematics and Physics and University of Barcelona
Downloads 161 (336,152)
Citation 2

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hybrid Monte Carlo Partial Differential Equation approach, Shannon wavelet, foreign exchange, multi-factor Cox-Ingersoll-Ross, dimension reduction

8.

Pricing Early-Exercise and Discrete Barrier Options by Shannon Wavelet Expansions

Number of pages: 33 Posted: 20 Dec 2015 Last Revised: 16 Aug 2016
Center for Mathematics and Computer Science (CWI)University of Amsterdam - University Medical Center, University of Barcelona and Utrecht University - Faculty of Science
Downloads 157 (343,257)
Citation 7

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Shannon wavelets; Bermudan options; barrier options

9.

Two-Dimensional Shannon Wavelet Inverse Fourier Technique for Pricing European Options

Number of pages: 27 Posted: 02 Jun 2016 Last Revised: 28 Aug 2017
Centre de Recerca Matemàtica, University of Barcelona and Utrecht University - Faculty of Science
Downloads 154 (348,873)
Citation 6

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Option pricing, European options, two-color rainbow options, basket options, spread options, Lévy process, Shannon wavelets, cardinal sine function, Fourier transform inversion

10.

SWIFT Valuation of Discretely Monitored Arithmetic Asian Options

Journal of Computational Science 28: 120-139, 2018
Number of pages: 29 Posted: 28 Feb 2018 Last Revised: 28 Oct 2018
Alvaro Leitao Rodriguez, Luis Ortiz-Gracia and Emma I. Wagner
University of Coruña - Department of Mathematics - M2NICA, University of Barcelona and Delft University of Technology - Delft Institute of Applied Mathematics (DIAM)
Downloads 132 (394,339)
Citation 6

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Arithmetic Asian options, Fourier transform, Shannon wavelets, SWIFT method, Exponential Lévy processes, Square-root diffusions, Option pricing

11.

Quantifying Credit Portfolio Losses Under Multi-Factor Models

Number of pages: 20 Posted: 30 Nov 2017
Centre de Recerca Matemàtica, University of Barcelona and Utrecht University - Faculty of Science
Downloads 120 (423,958)

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Credit risk, Value-at-Risk, Expected Shortfall, Multi-factor models, Gaussian copula, t-copula, Fourier transform inversion, Haar wavelets

12.

A Dimension Reduction Shannon Wavelet-Based Method for Option Pricing

Number of pages: 30 Posted: 08 Sep 2017
Duy-Minh Dang and Luis Ortiz-Gracia
University of Queensland - School of Mathematics and Physics and University of Barcelona
Downloads 109 (455,461)
Citation 3

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Shannon wavelets, dimension reduction, jump diffusions

13.

Hedging At-The-Money Digital Options near Maturity

Methodology and Computing in Applied Probability
Number of pages: 17 Posted: 09 Feb 2022 Last Revised: 28 Nov 2022
Augusto Blanc-Blocquel, Luis Ortiz-Gracia and Rodolfo Oviedo
Universitat Politècnica de Catalunya (UPC Barcelona Tech), University of Barcelona and Universidad Austral
Downloads 100 (484,015)

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Digital option, short maturity, at-the-money, hedging, bull call spread, Black- Scholes, Heston model, Lévy model

14.

Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses

Quantitative Finance, May 2011
Number of pages: 15 Posted: 25 Jan 2013
Josep Masdemont and Luis Ortiz-Gracia
Polytechnic University of Catalonia (UPC) and University of Barcelona
Downloads 98 (490,543)
Citation 1

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credit risk, portfolio losses, Haar wavelets

15.

Computation of Market Risk Measures with Stochastic Liquidity Horizon

Number of pages: 23 Posted: 01 Dec 2016 Last Revised: 28 Aug 2017
Gemma Colldeforns-Papiol and Luis Ortiz-Gracia
Centre de Recerca Matemàtica and University of Barcelona
Downloads 97 (493,879)
Citation 1

Abstract:

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Market Risk, Liquidity Risk, Stochastic Liquidity Horizon, Value-At-Risk, Expected Shortfall, Fourier Transform Inversion, Shannon Wavelets

16.

Model-Free Computation of Risk Contributions in Credit Portfolios

Number of pages: 30 Posted: 18 Nov 2018 Last Revised: 13 Apr 2020
Alvaro Leitao Rodriguez and Luis Ortiz-Gracia
University of Coruña - Department of Mathematics - M2NICA and University of Barcelona
Downloads 94 (503,992)
Citation 1

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Risk Management, Value-at-Risk, Expected Shortfall, Portfolio Credit Risk Contributions, Shannon Wavelets

17.

Expected Shortfall Computation with Multiple Control Variates

Number of pages: 20 Posted: 22 Jul 2019 Last Revised: 20 Dec 2019
Luis Ortiz-Gracia
University of Barcelona
Downloads 83 (544,500)

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Swiss solvency test, Market risk, nonlinear portfolio, delta-gamma approximation, Expected Shortfall, exact formula, control variates

18.

Efficient Wavelets-Based Valuation of Synthetic CDO Tranches

Number of pages: 17 Posted: 10 May 2014
Luis Ortiz-Gracia
University of Barcelona
Downloads 76 (573,271)

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CDO valuation, factor models, characteristic function inversion, Haar wavelets, B-splines

19.

Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation

Number of pages: 20 Posted: 28 Nov 2023
Augusto Blanc-Blocquel, Luis Ortiz-Gracia and Rodolfo Oviedo
Universitat Politècnica de Catalunya (UPC Barcelona Tech), University of Barcelona and Universidad Austral
Downloads 75 (577,562)

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Climate management, derivatives, Heston model, Bitcoin, Cryptocurrencies, Likelihood evaluation, Shannon wavelets

20.

SWIFT Calibration of the Heston Model

Number of pages: 20 Posted: 19 Mar 2021
Eudald Romo and Luis Ortiz-Gracia
Xanadu Trading and University of Barcelona
Downloads 31 (842,853)

Abstract:

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Heston model, calibration, European options, Shannon wavelets