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Publications by Luis Ortiz-Gracia

Robust Pricing of European Options With Wavelets and the Characteristic Function

SIAM Journal of Scientific Computing
Computational MathematicsApplied Mathematics
2013English

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

SIAM Journal of Scientific Computing
Computational MathematicsApplied Mathematics
2016English

Quantifying Credit Portfolio Losses Under Multi-Factor Models

International Journal of Computer Mathematics
Computational TheoryApplied MathematicsComputer Science ApplicationsMathematics
2018English

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

SSRN Electronic Journal
2015English

Efficient VAR and Expected Shortfall Computations for Non-Linear Portfolios Within the Delta-Gamma Approach

SSRN Electronic Journal
2013English

Robust Pricing of European Options With Wavelets and the Characteristic Function

SSRN Electronic Journal
2013English

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