Álvaro
Leitao Rodríguez
Investigador Programa Ramón y Cajal
Universitat de Barcelona
Barcelona, EspañaPublicacións en colaboración con investigadores/as de Universitat de Barcelona (5)
2020
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Model-free computation of risk contributions in credit portfolios
Applied Mathematics and Computation, Vol. 382
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The CTMC–heston model: Calibration and exotic option pricing with SWIFT
Journal of Computational Finance, Vol. 24, Núm. 4, pp. 71-114
2019
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Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options
Journal of Computational Science, Vol. 33, pp. 95-112
2018
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On the data-driven COS method
Applied Mathematics and Computation, Vol. 317, pp. 68-84
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SWIFT valuation of discretely monitored arithmetic Asian options
Journal of Computational Science, Vol. 28, pp. 120-139