Publicaciones (25) Publicaciones de Álvaro Leitao Rodríguez

2024

  1. 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

  2. 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

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

    Journal of Computational and Applied Mathematics, Vol. 425

  2. Real quantum amplitude estimation

    EPJ Quantum Technology, Vol. 10, Núm. 1

  3. Spline local basis methods for nonparametric density estimation

    Statistics Surveys, Vol. 17, pp. 75-118

  4. VI Congreso XoveTIC: impulsando el talento científico ed. lit.

    Servizo de Publicacións

2022

  1. A Modular Framework for Generic Quantum Algorithms

    Mathematics, Vol. 10, Núm. 5

  2. A Survey on Quantum Computational Finance for Derivatives Pricing and VaR

    Archives of Computational Methods in Engineering, Vol. 29, Núm. 6, pp. 4137-4163

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

    Communications in Nonlinear Science and Numerical Simulation, Vol. 115

2021

  1. Deep Learning-Based Method for Computing Initial Margin †

    Engineering Proceedings, Vol. 7, Núm. 1

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

    Computational Statistics and Data Analysis, Vol. 159

  3. On a Neural Network to Extract Implied Information from American Options

    Applied Mathematical Finance, Vol. 28, Núm. 5, pp. 449-475

  4. Quantum Arithmetic for Directly Embedded Arrays †

    Engineering Proceedings, Vol. 7, Núm. 1

2020

  1. Model-free computation of risk contributions in credit portfolios

    Applied Mathematics and Computation, Vol. 382

  2. The CTMC–heston model: Calibration and exotic option pricing with SWIFT

    Journal of Computational Finance, Vol. 24, Núm. 4, pp. 71-114

2019

  1. 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

  2. Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options

    Journal of Computational Science, Vol. 33, pp. 95-112

2018

  1. On the data-driven COS method

    Applied Mathematics and Computation, Vol. 317, pp. 68-84

  2. SWIFT valuation of discretely monitored arithmetic Asian options

    Journal of Computational Science, Vol. 28, pp. 120-139

2017

  1. A Highly Efficient Numerical Method for the SABR Modeln

    NOVEL METHODS IN COMPUTATIONAL FINANCE (SPRINGER-VERLAG BERLIN), pp. 253-263