2 papers
q-fin.CP2021
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…
q-fin.RM2009
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…