Browsing by Author Ortiz Gracia, Luis

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Issue DateTitleAuthor(s)
May-2018A dimension reduction Shannon-wavelet based method for option pricingDang, Duy-Minh; Ortiz Gracia, Luis
Feb-2019A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR modelBerthe, Edouard; Dang, Duy-Minh; Ortiz Gracia, Luis
2022Aplicación práctica de la metodología de reserva técnica para entidades de aseguramiento en salud en ColombiaLopera Rojas, Angélica María
2017Càlcul de les mesures de risc de crèdit mitjançant models d’un factor amb diferents estructures de dependènciaPallarès Gonzalvo, Jacint
Nov-2018Computation of market risk measures with stochastic liquidity horizonColldeforns Papiol, Gemma; Ortiz Gracia, Luis
2018Estimación no paramétrica de densidades a través de la wavelet de HaarMérida Rodríguez, Josep
May-2020Expected shortfall computation with multiple control variatesOrtiz Gracia, Luis
1-Apr-2023Fast barrier option pricing by the COS BEM method in Heston modelAimi, Alessandra; Guardasoni, Chiara; Ortiz Gracia, Luis; Sanfelici, Simona
10-Feb-2023Hedging at-the-money digital options near maturityBlanc-Blocquel, Augusto; Ortiz Gracia, Luis; Oviedo, Rodolfo J.
28-Jun-2022Impact of peers in educational outcomes in EconomicsAbío, Gemma; Alcañiz, Manuela; Belloni, Carlos Marcelo; Gómez-Puig, Marta; Ortiz Gracia, Luis; Royuela Mora, Vicente; Rubert, Glòria; Serrano, Mònica (Serrano Gutiérrez); Stoyanova, Alexandrina Petrova
2021Interpolación de superficies de volatilidad mediante splines cúbicosCho Mun, Minsu-Luis
Oct-2020Model-free computation of risk contributions in credit portfoliosLeitao, Alvaro; Ortiz Gracia, Luis
2018On the data-driven COS methodLeitao, Alvaro; Oosterlee, C. W. (Cornelis W.); Ortiz Gracia, Luis; Bohte, Sander M.
2021Predicción de precios de activos financieros con deep learning en un entorno de trading de Alta Frecuencia y una gestión activa de riesgosForero Carreño, Juan Carlos
2022Predicción del rendimiento futuro de los jugadores del circuito masculino de tenisNuevo Mengual, Luis
Aug-2017Pricing early-exercise and discrete barrier options by Shannon wavelet expansionsMaree, Stef C.; Ortiz Gracia, Luis; Oosterlee, C. W. (Cornelis W.)
Oct-2019Quantifying credit portfolio losses under multi-factor modelsColldeforns Papiol, Gemma; Ortiz Gracia, Luis; Oosterlee, C. W. (Cornelis W.)
2023Regulatory capital for credit risk: Is there a loophole in the system?Teji, Abhishek
11-Sep-2018Shannon wavelets inverse Fourier technique for computacional financeGarcı́a Villa, Felipe
27-Jul-2023Students' perception of team-based learning: Evidence in EconomicsAbío, Gemma; Alcañiz, Manuela; Gómez-Puig, Marta; Ortiz Gracia, Luis; Royuela Mora, Vicente; Rubert, Glòria; Serrano, Mònica (Serrano Gutiérrez); Stoyanova, Alexandrina Petrova