نتائج البحث

Fast barrier option pricing by the COS BEM method in Heston model

• Authors : Aimi, Alessandra; Guardasoni, Chiara; Ortiz Gracia, Luis

Subjects: Matemàtica aplicada; Complexitat computacional; Matemàtica financera

• Source: Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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The CTMC-Heston model: calibration and exotic option pricing with SWIFT

• Authors : Leitao, Alvaro; Kirkby, J. Lars; Ortiz Gracia, Luis

Subjects: Estadística matemàtica; Anàlisi de Fourier; Matemàtica aplicada

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On the data-driven COS method

• Authors : Leitao, Alvaro; Oosterlee, C. W. (Cornelis W.); Ortiz Gracia, Luis

Subjects: Estadística matemàtica; Anàlisi de Fourier; Matemàtica aplicada

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Computation of market risk measures with stochastic liquidity horizon

• Authors : Colldeforns-Papiol, Gemma; Ortiz-Gracia, Luis;

Subjects: Applied Mathematics; Computational Mathematics

• Source: Journal of Computational and Applied Mathematics ; volume 342, page 431-450 ; ISSN 0377-0427

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Efficient wavelets-based valuation of synthetic CDO tranches

• Authors : Ortiz-Gracia, Luis

Subjects: Applied Mathematics; Computational Mathematics

• Source: Journal of Computational and Applied Mathematics ; volume 292, page 562-575 ; ISSN 0377-0427

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Peaks and jumps reconstruction with B -splines scaling functions

• Authors : Ortiz-Gracia, Luis; Masdemont, Josep J.

Subjects: Applied Mathematics; Computational Mathematics

• Source: Journal of Computational and Applied Mathematics ; volume 272, page 258-272 ; ISSN 0377-0427

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