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2020 – today
- 2024
[j12]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: 107997 (2024)- [i4]Francisco Gomez Casanova, Álvaro Leitao, Fernando De Lope Contreras, Carlos Vázquez:
Deep Joint Learning valuation of Bermudan Swaptions. CoRR abs/2404.11257 (2024) - 2023
- [j11]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: 115041 (2023) - [e1]Álvaro Leitao, Lucía Ramos:
Proceedings of V XoveTIC Conference, XoveTIC 2022, A Coruña, Spain, 5-6 October 2022. Kalpa Publications in Computing 14, EasyChair 2023 [contents] - 2022
- [j10]Álvaro Leitao, Carlos Vázquez:
The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread. Commun. Nonlinear Sci. Numer. Simul. 115: 106731 (2022) - [c1]Joel P. Villarino, José Antonio García-Rodríguez, Álvaro Leitao:
Boundary-safe PINNs extension. XoveTIC 2022: 142-144 - [i3]Joel P. Villarino, Álvaro Leitao, José Antonio García-Rodríguez:
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk. CoRR abs/2210.02175 (2022) - 2021
- [j9]Justin 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: 107202 (2021) - 2020
- [j8]Álvaro Leitao, Luis Ortiz-Gracia:
Model-free computation of risk contributions in credit portfolios. Appl. Math. Comput. 382: 125351 (2020) - [i2]Shuaiqiang Liu, Álvaro Leitao, Anastasia Borovykh, Cornelis W. Oosterlee:
On Calibration Neural Networks for extracting implied information from American options. CoRR abs/2001.11786 (2020) - [i1]Álvaro Leitao, Carlos Vázquez:
A stochastic θ-SEIHRD model: adding randomness to the COVID-19 spread. CoRR abs/2010.15504 (2020)
2010 – 2019
- 2019
- [j7]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): 1910-1923 (2019) - [j6]Shashi Jain, Álvaro Leitao, Cornelis W. Oosterlee:
Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options. J. Comput. Sci. 33: 95-112 (2019) - 2018
- [j5]Álvaro Leitao, Cornelis W. Oosterlee, Luis Ortiz-Gracia, Sander M. Bohté:
On the data-driven COS method. Appl. Math. Comput. 317: 68-84 (2018) - [j4]Álvaro Leitao, Luis Ortiz-Gracia, Emma I. Wagner:
SWIFT valuation of discretely monitored arithmetic Asian options. J. Comput. Sci. 28: 120-139 (2018) - 2017
- [j3]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: 461-479 (2017) - 2015
- [j2]Álvaro Leitao, Cornelis W. Oosterlee:
GPU acceleration of the stochastic grid bundling method for early-exercise options. Int. J. Comput. Math. 92(12): 2433-2454 (2015) - 2013
- [j1]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: 55-75 (2013)
Coauthor Index
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