1 citations · 1 across the 4 of their papers we have counts for
4 papers
Fast Barrier Option Pricing by the COS BEM Method in Heston Model
A. Aimi, C. Guardasoni, L. Ortiz-Gracia +1
In this work, the Fourier-cosine series (COS) method has been combined with the Boundary Element Method (BEM) for a fast evaluation of barrier option prices. After a description of…
SWIFT calibration of the Heston model
Eudald Romo, Luis Ortiz-Gracia
In the present work, the European option pricing SWIFT method is extended for Heston model calibration. The computation of the option price gradient is simplified thanks to the kno…
Peaks and jumps reconstruction with B-splines scaling functions
Luis Ortiz-Gracia, Josep J. Masdemont
We consider a methodology based in B-splines scaling functions to numerically invert Fourier or Laplace transforms of functions in the space . The original functio…
Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses
Josep J. Masdemont, Luis Ortiz-Gracia
This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by…