Álvaro
Leitao Rodríguez
Investigador Programa Ramón y Cajal
Publications (25) Álvaro Leitao Rodríguez publications
2024
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Corrigendum to “article: A stochastic theta-SEIHRD model: adding randomness to covid-19 spread,” [Communications in Nonlinear Science and Numerical Simulation, 115 (2022), 106731] (Communications in Nonlinear Science and Numerical Simulation (2022) 115, (S1007570422002714), (10.1016/j.cnsns.2022.106731))
Communications in Nonlinear Science and Numerical Simulation
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Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
International Journal of Computer Mathematics, Vol. 101, Núm. 8, pp. 821-841
2023
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Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk
Journal of Computational and Applied Mathematics, Vol. 425
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Real quantum amplitude estimation
EPJ Quantum Technology, Vol. 10, Núm. 1
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Spline local basis methods for nonparametric density estimation
Statistics Surveys, Vol. 17, pp. 75-118
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VI Congreso XoveTIC: impulsando el talento científico
lit. ed.
Servizo de Publicacións
2022
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A Modular Framework for Generic Quantum Algorithms
Mathematics, Vol. 10, Núm. 5
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A Survey on Quantum Computational Finance for Derivatives Pricing and VaR
Archives of Computational Methods in Engineering, Vol. 29, Núm. 6, pp. 4137-4163
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The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread
Communications in Nonlinear Science and Numerical Simulation, Vol. 115
2021
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Deep Learning-Based Method for Computing Initial Margin †
Engineering Proceedings, Vol. 7, Núm. 1
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Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method
Computational Statistics and Data Analysis, Vol. 159
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On a Neural Network to Extract Implied Information from American Options
Applied Mathematical Finance, Vol. 28, Núm. 5, pp. 449-475
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Quantum Arithmetic for Directly Embedded Arrays †
Engineering Proceedings, Vol. 7, Núm. 1
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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BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems
International Journal of Computer Mathematics, Vol. 96, Núm. 10, pp. 1910-1923
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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
2017
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A Highly Efficient Numerical Method for the SABR Modeln
NOVEL METHODS IN COMPUTATIONAL FINANCE (SPRINGER-VERLAG BERLIN), pp. 253-263