Álvaro Leitao

Publication Activity (10 Years)

Years Active: 2013-2024
Publications (10 Years): 15

Top Topics

Mathematical Model

Contour Extraction

Top Venues

Appl. Math. Comput.

J. Comput. Sci.

Commun. Nonlinear Sci. Numer. Simul.

Publications

Francisco Gomez Casanova, Álvaro Leitao, Fernando De Lope Contreras, Carlos Vázquez
Deep Joint Learning valuation of Bermudan Swaptions. CoRR (2024)
Álvaro Leitao, Carlos Vázquez
Corrigendum to "article: A stochastic theta-SEIHRD model: adding randomness to covid-19 spread, " [Communications in Nonlinear Science and Numerical Simulation, 115 (2022), 106731]. Commun. Nonlinear Sci. Numer. Simul. 134 (2024)
Joel P. Villarino, Álvaro Leitao, José Antonio García-Rodríguez
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk. J. Comput. Appl. Math. 425 (2023)
Joel P. Villarino, José Antonio García-Rodríguez, Álvaro Leitao
Boundary-safe PINNs extension. XoveTIC (2022)
Álvaro Leitao, Carlos Vázquez
The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread. Commun. Nonlinear Sci. Numer. Simul. 115 (2022)
Joel P. Villarino, Álvaro Leitao, José Antonio García-Rodríguez
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk. CoRR (2022)
J. Lars Kirkby, Álvaro Leitao, Duy Nguyen
Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method. Comput. Stat. Data Anal. 159 (2021)
Álvaro Leitao, Luis Ortiz-Gracia
Model-free computation of risk contributions in credit portfolios. Appl. Math. Comput. 382 (2020)
Shuaiqiang Liu, Álvaro Leitao, Anastasia Borovykh, Cornelis W. Oosterlee
On Calibration Neural Networks for extracting implied information from American options. CoRR (2020)
Álvaro Leitao, Carlos Vázquez
A stochastic θ-SEIHRD model: adding randomness to the COVID-19 spread. CoRR (2020)
Shashi Jain, Álvaro Leitao, Cornelis W. Oosterlee
: Fast Greeks along Monte Carlo scenarios for early-exercise options. J. Comput. Sci. 33 (2019)
Lina von Sydow, Slobodan Milovanovic, Elisabeth Larsson, Karel J. in 't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Álvaro Leitao, Shashi Jain, Tinne Haentjens, Johan Waldén
BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems. Int. J. Comput. Math. 96 (10) (2019)
Álvaro Leitao, Cornelis W. Oosterlee, Luis Ortiz-Gracia, Sander M. Bohté
On the data-driven COS method. Appl. Math. Comput. 317 (2018)
Álvaro Leitao, Luis Ortiz-Gracia, Emma I. Wagner
SWIFT valuation of discretely monitored arithmetic Asian options. J. Comput. Sci. 28 (2018)
Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options. Appl. Math. Comput. 293 (2017)
Álvaro Leitao, Cornelis W. Oosterlee
GPU acceleration of the stochastic grid bundling method for early-exercise options. Int. J. Comput. Math. 92 (12) (2015)
J. L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Álvaro Leitao, José G. López-Salas, Carlos Vázquez
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs. Math. Comput. Simul. 94 (2013)