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Alvaro Leitao Rodriguez
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Cited by
Year
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
29*2017
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
232017
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
192022
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
182013
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
Á Leitao, L Ortiz-Gracia, EI Wagner
Journal of computational science 28, 120-139, 2018
162018
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
142015
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
122021
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
122019
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
112021
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
92019
The stochastic è-SEIHRD model: Adding randomness to the COVID-19 spread
Á Leitao, C Vázquez
Communications in Nonlinear Science & Numerical Simulation 115, 2022
72022
Real quantum amplitude estimation
A Manzano, D Musso, Á Leitao
EPJ Quantum Technology 10 (1), 1-24, 2023
62023
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
52021
Spline local basis methods for nonparametric density estimation
JL Kirkby, Á Leitao, D Nguyen
Statistic Surveys 17, 75-118, 2023
42023
Model-free computation of risk contributions in credit portfolios
Á Leitao, L Ortiz-Gracia
Applied Mathematics and Computation 382, 125351, 2020
32020
Machine learning to compute implied volatility from european/american options considering dividend yield
S Liu, Á Leitao, A Borovykh, CW Oosterlee
Proceedings 54 (1), 61, 2020
22020
On Calibration Neural Networks for extracting implied information from American options
S Liu, Á Leitao, A Borovykh, CW Oosterlee
arXiv preprint arXiv:2001.11786, 2020
22020
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, 1-21, 2023
12023
A Modular Framework for Generic Quantum Algorithms
A Manzano, D Musso, Á Leitao, A Gómez, C Vázquez, G Ordóñez, ...
Mathematics 10 (5), 785, 2022
12022
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