Alvaro Leitao Rodriguez

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Cornelis W. OosterleeUtrecht University, Mathematical InstituteVerified email at uu.nl
Lech A. GrzelakUtrecht UniversityVerified email at uu.nl
Luis Ortiz-GraciaAssociate Professor at Universitat de BarcelonaVerified email at ub.edu
Daniele MussoUNIOVI Universidad de OviedoVerified email at uniovi.es
Justin Lars KirkbyGeorgia Institute of TechnologyVerified email at gatech.edu
A. GómezFundación Pública Gallega Centro Tecnológico de Supercomputación de GaliciaVerified email at cesga.es
Anastasia BorovykhAssistant Professor Imperial College LondonVerified email at imperial.ac.uk
Shashi JainAssociate Professor, Indian Institute of Science, BangaloreVerified email at iisc.ac.in
J.A. García-Rodríguez (0000-0002-80...Professor (associate) University of A CoruñaVerified email at udc.es
Duy NguyenAssociate Professor, Marist CollegeVerified email at marist.edu
José Germán López-SalasUniversity of A Coruña, CITIC Research centerVerified email at udc.es
Sander BohteCWI AmsterdamVerified email at cwi.nl
Johan WALDENProfessor of Finance, UC Berkeley - Finance GroupVerified email at berkeley.edu
Magnus WiktorssonLund UniversityVerified email at matstat.lu.se
Slobodan MilovanovićBoston Consulting GroupVerified email at bcg.com
Karel in 't HoutUniversity of AntwerpVerified email at uantwerpen.be
Elisabeth LarssonProfessor of Scientific Computing, Uppsala UniversityVerified email at it.uu.se
Lina von SydowProfessor of Scientific Computing, Department of Information Technology, Uppsala UniversityVerified email at it.uu.se
Joel P. VillarinoPhD candidate at the University of A CoruñaVerified email at udc.es
Javier Pereira LoureiroCITIC. Grupo TALIONIS. Profesor TU de Radiología y Medicina Física. Universidade da CoruñaVerified email at udc.es

Alvaro Leitao Rodriguez

CITIC, University of A Coruña

Verified email at udc.es - Homepage

Computational finance Quantitative finance Monte Carlo methods


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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	28	2022
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	27	2017
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	21	2013
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	17	2019
SWIFT valuation of discretely monitored arithmetic Asian options Á Leitao, L Ortiz-Gracia, EI Wagner Journal of computational science 28, 120-139, 2018	16	2018
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	15	2021
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	15	2015
Real quantum amplitude estimation A Manzano, D Musso, Á Leitao EPJ Quantum Technology 10 (1), 1-24, 2023	14	2023
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
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	10	2019
The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread Á Leitao, C Vázquez Communications in Nonlinear Science & Numerical Simulation 115, 2022	9	2022
Spline local basis methods for nonparametric density estimation JL Kirkby, Á Leitao, D Nguyen Statistic Surveys 17, 75-118, 2023	6	2023
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	4	2024
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	4	2023
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	3	2020
Modern Monte Carlo Methods and GPU Computing Á Leitao, CW Oosterlee Novel Methods in Computational Finance, 465-476, 2017	2	2017

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