Luis Ortiz-Gracia

University of Barcelona

Lecturer of Quantitative Finance

Diagonal, 690

08034 Barcelona

Spain

SCHOLARLY PAPERS

17

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SSRN CITATIONS
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Top 29,110

in Total Papers Citations

4

CROSSREF CITATIONS

18

Scholarly Papers (17)

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 216 (142,372)

Abstract:

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Credit risk contributions, portfolio losses, Haar wavelets

2.

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 Center for Mathematics and Computer Science (CWI)
Downloads 214 (143,591)
Citation 2

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

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 Center for Mathematics and Computer Science (CWI)
Downloads 155 (191,810)

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

4.

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 Center for Mathematics and Computer Science (CWI)
Downloads 149 (198,114)
Citation 1

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

5.

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 Center for Mathematics and Computer Science (CWI)
Downloads 118 (237,976)
Citation 1

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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

6.

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, Center for Mathematics and Computer Science (CWI), University of Barcelona and Center for Mathematics and Computer Science (CWI)
Downloads 115 (242,465)
Citation 1

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Fourier, Density estimation, Statistical Learning theory, Greeks

7.

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

Number of pages: 33 Posted: 20 Dec 2015 Last Revised: 16 Aug 2016
Stefanus Maree, Luis Ortiz-Gracia and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), University of Barcelona and Center for Mathematics and Computer Science (CWI)
Downloads 92 (282,108)
Citation 2

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Shannon wavelets; Bermudan options; barrier options

8.

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 76 (317,044)

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credit risk, portfolio losses, Haar wavelets

9.

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 74 (321,980)

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

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 69 (334,563)

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

11.

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 63 (350,914)
Citation 1

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

12.

Efficient Wavelets-Based Valuation of Synthetic CDO Tranches

Number of pages: 17 Posted: 10 May 2014
Luis Ortiz-Gracia
University of Barcelona
Downloads 56 (371,995)

Abstract:

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

13.

Quantifying Credit Portfolio Losses Under Multi-Factor Models

Number of pages: 20 Posted: 30 Nov 2017
Centre de Recerca Matemàtica, University of Barcelona and Center for Mathematics and Computer Science (CWI)
Downloads 53 (381,556)

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

14.

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 46 (405,412)
Citation 1

Abstract:

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Shannon wavelets, dimension reduction, jump diffusions

15.

Model-Free Computation of Risk Contributions in Credit Portfolios

Number of pages: 25 Posted: 18 Nov 2018
Alvaro Leitao Rodriguez and Luis Ortiz-Gracia
University of Coruña - Department of Mathematics - M2NICA and University of Barcelona
Downloads 41 (423,901)

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

16.

Expected Shortfall Computation with Multiple Control Variates

Number of pages: 14 Posted: 22 Jul 2019
Luis Ortiz-Gracia
University of Barcelona
Downloads 15 (555,837)

Abstract:

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

17.

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

Number of pages: 31
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 3

Abstract:

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Heston Model, CTMC, Markov chain approximation, regime switching, option pricing, calibration, wavelets, SWIFT, stochastic volatility, Asian options, variance swaps