フォロー
Alvaro Leitao Rodriguez
Alvaro Leitao Rodriguez
CITIC, University of A Coruña
確認したメール アドレス: udc.es - ホームページ
タイトル
引用先
引用先
年
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options
Á Leitao, LA Grzelak, CW Oosterlee
Applied Mathematics and Computation 293, 461-479, 2017
31*2017
A survey on quantum computational finance for derivatives pricing and var
A Gómez, Á Leitao, A Manzano, D Musso, MR Nogueiras, G Ordóñez, ...
Archives of Computational Methods in Engineering 29 (6), 4137-4163, 2022
282022
On an efficient multiple time step Monte Carlo simulation of the SABR model
Á Leitao, LA Grzelak, CW Oosterlee
Quantitative Finance 17 (10), 1549-1565, 2017
272017
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs
CV J.L. Fernandez, A. Ferreiro Ferreiro, J.A. Garcia-Rodriguez, A. Leitao, J ...
Mathematics and Computers in Simulation 94, 55-75, 2013
212013
On the data-driven COS method
Á Leitao, CW Oosterlee, L Ortiz-Gracia, SM Bohte
Applied Mathematics and Computation 317, 68-84, 2018
18*2018
Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options
S Jain, Á Leitao, CW Oosterlee
Journal of Computational Science 33, 95-112, 2019
172019
SWIFT valuation of discretely monitored arithmetic Asian options
Á Leitao, L Ortiz-Gracia, EI Wagner
Journal of computational science 28, 120-139, 2018
162018
Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method
JL Kirkby, Á Leitao, D Nguyen
Computational Statistics & Data Analysis 159, 107202, 2021
152021
GPU acceleration of the stochastic grid bundling method for early-exercise options
Á Leitao, CW Oosterlee
International Journal of Computer Mathematics 92 (12), 2433-2454, 2015
152015
Real quantum amplitude estimation
A Manzano, D Musso, Á Leitao
EPJ Quantum Technology 10 (1), 1-24, 2023
142023
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
132021
On a Neural Network to Extract Implied Information from American Options
S Liu, Á Leitao, A Borovykh, CW Oosterlee
Applied Mathematical Finance 28 (5), 449-475, 2021
13*2021
BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems
L von Sydow, S Milovanović, E Larsson, K In't Hout, M Wiktorsson, ...
International Journal of Computer Mathematics 96 (10), 1910-1923, 2019
102019
The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread
Á Leitao, C Vázquez
Communications in Nonlinear Science & Numerical Simulation 115, 2022
92022
Spline local basis methods for nonparametric density estimation
JL Kirkby, Á Leitao, D Nguyen
Statistic Surveys 17, 75-118, 2023
52023
Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
Í Arregui, Á Leitao, B Salvador, C Vázquez
International Journal of Computer Mathematics 101 (8), 821-841, 2024
42024
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk
JP Villarino, Á Leitao, JAG Rodríguez
Journal of Computational and Applied Mathematics 425, 115041, 2023
42023
A Modular Framework for Generic Quantum Algorithms
A Manzano, D Musso, Á Leitao, A Gómez, C Vázquez, G Ordóñez, ...
Mathematics 10 (5), 785, 2022
3*2022
Model-free computation of risk contributions in credit portfolios
Á Leitao, L Ortiz-Gracia
Applied Mathematics and Computation 382, 125351, 2020
32020
Modern Monte Carlo Methods and GPU Computing
Á Leitao, CW Oosterlee
Novel Methods in Computational Finance, 465-476, 2017
22017
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