Luis Ortiz-Gracia

Lecturer at UB
Research area: Mathematical Modelling

PhD in Mathematics obtained at UPC


 I am a lecturer of Quantitative Finance at the University of Barcelona. I obtained my PhD in Mathematics from the Polytechnic University of Catalonia. My fields of research are Computational Finance and Quantitative Risk Management, with particular interests on wavelets-based methods for option pricing and aggregate risk measurement. I teach Computational Aspects of Risk Management in the Master of Mathematics in Finance at the Autonomous University of Barcelona and Advanced Risk Quantification in the Master of Actuarial and Financial Sciences at the University of Barcelona. I led the Financial Mathematics and Risk Control research group at the Centre de Recerca Matemàtica and carried out research stays at the CWI in the Netherlands as well as in the School of Mathematics and Physics at the University of Queensland in Australia. Before I moved to the academia, I spent some years working on quantitative projects in several private firms within the fields of information technology, business and finance.

Research lines

  • Nonparametric density estimation with wavelets
  • Fourier inversion using wavelets
  • Numerical methods for pricing derivatives
  • Monte Carlo methods for quantitative risk management
  • Portfolio optimization

Selected publications

  • 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