Luis Ortiz Gracia obtained his PhD in Applied Mathematics from the Universitat Politècnica de Catalunya. He is professor of Quantitative Finance at the University of Barcelona. His fields of research are Computational Finance and Quantitative Risk Management, with particular interests on wavelets-based methods for option pricing and aggregate risk measurement. He teaches Computational Aspects of Risk Management in the Master of Mathematics in Finance at the Universitat Autònoma de Barcelona and Advanced Risk Quantification in the Master of Actuarial and Financial Sciences at the University of Barcelona. He led the Financial Mathematics and Risk Control group at the Centre de Recerca Matemàtica and he carried out research stays at the national Center for Mathematics and Computer Science (CWI) in the Netherlands as well as in the School of Mathematics and Physics at the University of Queensland in Australia. Before he moved to the academia, he spent some years working on quantitative projects in several private firms within the fields of information technology, business and finance.
- Fourier and wavelet methods in option pricing.
- Credit and market risk measurement at portfolio level.
- Credit derivatives pricing under Lévy models.
- Stochastic control problems in Economics and Finance.
- Numerical aspects of BSDEs and counterparty risk.
- L. Ortiz-Gracia (2016). Efficient wavelets-based valuation of synthetic CDO tranches. Journal of Computational and Applied Mathematics, 292, 562-575
- L. Ortiz-Gracia and C.W. Oosterlee (2014). Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach. Applied Mathematics and Computation, 244, 16-31
- L. Ortiz-Gracia and C.W. Oosterlee (2013). Robust pricing of European options with wavelets and the characteristic function. SIAM Journal on Scientific Computing, 35(5), B1055-B1084
- L. Ortiz-Gracia and J.J. Masdemont (2014). Credit risk contributions under the Vasicekone-factor model: a fast wavelet expansion approximation. Journal of Computational Finance, 17(4), 59-97
- J. Masdemont and L. Ortiz-Gracia (2014). Haar wavelets-based approach for quantifying credit portfolio losses. Quantitative Finance, 14(9), 1587-1595