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 002 (Math. Comput. Simul., 2013)

GPU acceleration of the stochastic grid bundling method for early-exercise options. - Álvaro Leitao; Cornelis W. Oosterlee (Int. J. Comput. Math., 2015)

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)

On the data-driven COS method. - Álvaro Leitao; Cornelis W. Oosterlee; Luis Ortiz-Gracia; Sander M. Bohté (Appl. Math. Comput., 2018)

SWIFT valuation of discretely monitored arithmetic Asian options. - Álvaro Leitao; Luis Ortiz-Gracia; Emma I. Wagner (J. Comput. Sci., 2018)

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)

Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options. - Shashi Jain; Álvaro Leitao; Cornelis W. Oosterlee (J. Comput. Sci., 2019)

Model-free computation of risk contributions in credit portfolios. - Álvaro Leitao; Luis Ortiz-Gracia (Appl. Math. Comput., 2020)

On Calibration Neural Networks for extracting implied information from American options. - Shuaiqiang Liu; Álvaro Leitao; Anastasia Borovykh; Cornelis W. Oosterlee (CoRR, 2020)

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)

Boundary-safe PINNs extension. - Joel P. Villarino; José Antonio García-Rodríguez; Álvaro Leitao (XoveTIC, 2022)

The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread. - Álvaro Leitao; Carlos Vázquez 002 (Commun. Nonlinear Sci. Numer. Simul., 2022)

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., 2023)

Corrigendum to "article: A stochastic theta-SEIHRD model: adding randomness to covid-19 spread, " [Communications in Nonlinear Science and Numerical Simulation, 115 (2022), 106731]. - Álvaro Leitao; Carlos Vázquez 002 (Commun. Nonlinear Sci. Numer. Simul., 2024)

Deep Joint Learning valuation of Bermudan Swaptions. - Francisco Gomez Casanova; Álvaro Leitao; Fernando De Lope Contreras; Carlos Vázquez 002 (CoRR, 2024)

Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk. - Iñigo Arregui; Álvaro Leitao; Beatriz Salvador; Carlos Vázquez 002 (Int. J. Comput. Math., 2024)

On deep learning for computing the dynamic initial margin and margin value adjustment. - Joel P. Villarino; Álvaro Leitao (Appl. Math. Comput., 2026)