| A highly efficient Shannon wavelet inverse Fourier technique for pricing European options L Ortiz-Gracia, CW Oosterlee SIAM Journal on Scientific Computing 38 (1), B118-B143, 2016 | 74 | 2016 |
| Robust pricing of European options with wavelets and the characteristic function L Ortiz-Gracia, CW Oosterlee SIAM Journal on Scientific Computing 35 (5), B1055-B1084, 2013 | 59 | 2013 |
| Pricing early-exercise and discrete barrier options by Shannon wavelet expansions SC Maree, L Ortiz-Gracia, CW Oosterlee Numerische Mathematik 136, 1035-1070, 2017 | 30 | 2017 |
| Haar wavelets-based approach for quantifying credit portfolio losses JJ Masdemont, L Ortiz-Gracia Quantitative Finance 14 (9), 1587-1595, 2014 | 28 | 2014 |
| Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach L Ortiz-Gracia, CW Oosterlee Applied Mathematics and Computation 244, 16-31, 2014 | 23 | 2014 |
| Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options G Colldeforns-Papiol, L Ortiz-Gracia, CW Oosterlee Applied Numerical Mathematics 117, 115-138, 2017 | 19 | 2017 |
| On the data-driven COS method Á Leitao, CW Oosterlee, L Ortiz-Gracia, SM Bohte Applied Mathematics and Computation 317, 68-84, 2018 | 17 | 2018 |
| SWIFT valuation of discretely monitored arithmetic Asian options A Leitao, L Ortiz-Gracia, EI Wagner Journal of computational science 28, 120-139, 2018 | 16 | 2018 |
| Peaks and jumps reconstruction with B-splines scaling functions L Ortiz-Gracia, JJ Masdemont Journal of Computational and applied mathematics 272, 258-272, 2014 | 14 | 2014 |
| The CTMC–Heston model: calibration and exotic option pricing with SWIFT A Leitao Rodriguez, J Lars Kirkby, L Ortiz-Gracia Journal of Computational Finance 24 (4), 2021 | 13 | 2021 |
| Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation L Ortiz-Gracia, J Masdemont Journal of computational finance, 2011 | 13 | 2011 |
| A dimension reduction Shannon-wavelet based method for option pricing DM Dang, L Ortiz-Gracia Journal of Scientific Computing 75, 733-761, 2018 | 12 | 2018 |
| A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model E Berthe, DM Dang, L Ortiz-Gracia Applied Numerical Mathematics 136, 1-22, 2019 | 11 | 2019 |
| Computation of market risk measures with stochastic liquidity horizon G Colldeforns-Papiol, L Ortiz-Gracia Journal of Computational and Applied Mathematics 342, 431-450, 2018 | 7 | 2018 |
| Swift calibration of the heston model E Romo, L Ortiz-Gracia Mathematics 9 (5), 529, 2021 | 5 | 2021 |
| Quantifying credit portfolio losses under multi-factor models G Colldeforns-Papiol, L Ortiz-Gracia, CW Oosterlee International Journal of Computer Mathematics 96 (11), 2135-2156, 2019 | 5 | 2019 |
| Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) A Aimi, C Guardasoni, L Ortiz-Gracia, S Sanfelici Computational Methods in Applied Mathematics 23 (2), 301-331, 2023 | 4 | 2023 |
| Model-free computation of risk contributions in credit portfolios Á Leitao, L Ortiz-Gracia Applied Mathematics and Computation 382, 125351, 2020 | 3 | 2020 |
| Expected shortfall computation with multiple control variates L Ortiz-Gracia Applied Mathematics and Computation 373, 125018, 2020 | 2 | 2020 |
| Fourier and wavelet option pricing methods SC Maree, L Ortiz-Gracia, CW Oosterlee High-Performance Computing in Finance, 249-272, 2018 | 2 | 2018 |
Cornelis W. OosterleeUtrecht University, Mathematical InstituteVerified email at uu.nl
