Concepedia
Statistics
Publications
13
Citations
308
H-Index
11
Active since
2011
Affiliations
Universitat de Barcelona(Current)
Centre de Recerca Matemàtica
Delft University of Technology
Centrum Wiskunde & Informatica
Barcelona School of Economics
Luis Ortiz-Gracia is an author at Universitat de Barcelona specializing in option pricing, engineering, and asset pricing.
Top concepts
Option PricingEngineeringAsset PricingFinanceBusinessFinancial EngineeringApproximation TheoryMathematical ProgrammingManagementInverse Problems
Publications per year
2011–2021
A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
Luis Ortiz-Gracia, Cornelis W. Oosterlee · SIAM Journal on Scientific Computing · 2016 · 67 citations · Full text
Option Pricing, Computational Finance, Engineering +15
Robust Pricing of European Options with Wavelets and the Characteristic Function
Luis Ortiz-Gracia, Cornelis W. Oosterlee · SIAM Journal on Scientific Computing · 2013 · 62 citations · Full text
Haar wavelets-based approach for quantifying credit portfolio losses
Josep J. Masdemont, Luis Ortiz-Gracia · Quantitative Finance · 2011 · 30 citations · Full text
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
S. C. Maree, Luis Ortiz-Gracia, Cornelis W. Oosterlee · Numerische Mathematik · 2017 · 22 citations · Full text
Mathematical Programming, Option Pricing, Computational Finance +9
Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach
Luis Ortiz-Gracia, Cornelis W. Oosterlee · Applied Mathematics and Computation · 2014 · 21 citations · Full text
Mathematical Programming, Portfolio Optimization, Engineering +11
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