Showing results 1 to 20 of 27
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| Issue Date | Title | Author(s) |
| May-2018 | A dimension reduction Shannon-wavelet based method for option pricing | Dang, Duy-Minh; Ortiz Gracia, Luis |
| Feb-2019 | A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model | Berthe, Edouard; Dang, Duy-Minh; Ortiz Gracia, Luis |
| 2022 | Aplicación práctica de la metodología de reserva técnica para entidades de aseguramiento en salud en Colombia | Lopera Rojas, Angélica María |
| 2017 | Càlcul de les mesures de risc de crèdit mitjançant models d’un factor amb diferents estructures de dependència | Pallarès Gonzalvo, Jacint |
| Nov-2018 | Computation of market risk measures with stochastic liquidity horizon | Colldeforns Papiol, Gemma; Ortiz Gracia, Luis |
| Nov-2024 | Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation | Blanc-Blocquel, Augusto; Ortiz Gracia, Luis; Oviedo, Rodolfo J. |
| 2018 | Estimación no paramétrica de densidades a través de la wavelet de Haar | Mérida Rodríguez, Josep |
| May-2020 | Expected shortfall computation with multiple control variates | Ortiz Gracia, Luis |
| 1-Apr-2023 | Fast barrier option pricing by the COS BEM method in Heston model | Aimi, Alessandra; Guardasoni, Chiara; Ortiz Gracia, Luis; Sanfelici, Simona |
| 10-Feb-2023 | Hedging at-the-money digital options near maturity | Blanc-Blocquel, Augusto; Ortiz Gracia, Luis; Oviedo, Rodolfo J. |
| 28-Jun-2022 | Impact of peers in educational outcomes in Economics | Abío, Gemma; Alcañiz, Manuela; Belloni, Carlos Marcelo; Gómez-Puig, Marta; Ortiz Gracia, Luis; Royuela Mora, Vicente; Rubert, Glòria; Serrano, Mònica (Serrano Gutiérrez); Stoyanova, Alexandrina Petrova |
| 2021 | Interpolación de superficies de volatilidad mediante splines cúbicos | Cho Mun, Minsu-Luis |
| Oct-2020 | Model-free computation of risk contributions in credit portfolios | Leitao, Alvaro; Ortiz Gracia, Luis |
| 2018 | On the data-driven COS method | Leitao, Alvaro; Oosterlee, C. W. (Cornelis W.); Ortiz Gracia, Luis; Bohte, Sander M. |
| 2021 | Predicción de precios de activos financieros con deep learning en un entorno de trading de Alta Frecuencia y una gestión activa de riesgos | Forero Carreño, Juan Carlos |
| 2022 | Predicción del rendimiento futuro de los jugadores del circuito masculino de tenis | Nuevo Mengual, Luis |
| Aug-2017 | Pricing early-exercise and discrete barrier options by Shannon wavelet expansions | Maree, Stef C.; Ortiz Gracia, Luis; Oosterlee, C. W. (Cornelis W.) |
| Oct-2019 | Quantifying credit portfolio losses under multi-factor models | Colldeforns Papiol, Gemma; Ortiz Gracia, Luis; Oosterlee, C. W. (Cornelis W.) |
| 2023 | Regulatory capital for credit risk: Is there a loophole in the system? | Teji, Abhishek |
| 11-Sep-2018 | Shannon wavelets inverse Fourier technique for computacional finance | Garcı́a Villa, Felipe |
