Álvaro Leitao

According to our database, Álvaro Leitao authored at least 12 papers between 2013 and 2023.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2023

Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk.

Joel P. Villarino, Álvaro Leitao, José Antonio García-Rodríguez

J. Comput. Appl. Math., June, 2023

2022

The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread.

Álvaro Leitao, Carlos Vázquez

Commun. Nonlinear Sci. Numer. Simul., 2022

2021

Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method.

Justin Lars Kirkby, Álvaro Leitao, Duy Nguyen

Comput. Stat. Data Anal., 2021

2020

On Calibration Neural Networks for extracting implied information from American options.

Shuaiqiang Liu, Álvaro Leitao, Anastasia Borovykh, Cornelis W. Oosterlee

CoRR, 2020

Model-free computation of risk contributions in credit portfolios.

Álvaro Leitao, Luis Ortiz-Gracia

Appl. Math. Comput., 2020

2019

<i>Rolling Adjoints</i>: Fast Greeks along Monte Carlo scenarios for early-exercise options.

Shashi Jain, Álvaro Leitao, Cornelis W. Oosterlee

J. Comput. Sci., 2019

BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems.

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

Int. J. Comput. Math., 2019

2018

SWIFT valuation of discretely monitored arithmetic Asian options.

Álvaro Leitao, Luis Ortiz-Gracia, Emma I. Wagner

J. Comput. Sci., 2018

On the data-driven COS method.

Álvaro Leitao, Cornelis W. Oosterlee, Luis Ortiz-Gracia, Sander M. Bohté

Appl. Math. Comput., 2018

2017

On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options.

Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee

Appl. Math. Comput., 2017

2015

GPU acceleration of the stochastic grid bundling method for early-exercise options.

Álvaro Leitao, Cornelis W. Oosterlee

Int. J. Comput. Math., 2015

2013

Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs.

J. L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Álvaro Leitao, José G. López-Salas, Carlos Vázquez

Math. Comput. Simul., 2013