Álvaro Leitao

22 papers Journal 20Unranked 1
YearRankTypeTitle / Venue / Authors
2026 J jnl
On deep learning for computing the dynamic initial margin and margin value adjustment.
Appl. Math. Comput.
Joel P. Villarino, Álvaro Leitao
2026 J jnl
Quantum computing for multidimensional option pricing: End-to-end pipeline.
CoRR
Julien Hok, Álvaro Leitao
2025 J jnl
Deep joint learning valuation of Bermudan swaptions.
Int. J. Comput. Math.
Francisco Gomez Casanova, Álvaro Leitao, Fernando De Lope Contreras, Carlos Vázquez
2025 J jnl
Parametric Numerical Integration with (Differential) Machine Learning.
CoRR
Álvaro Leitao, Jonatan Ráfales
2024 J jnl
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.
Álvaro Leitao, Carlos Vázquez
2024 J jnl
Deep Joint Learning valuation of Bermudan Swaptions.
CoRR
Francisco Gomez Casanova, Álvaro Leitao, Fernando De Lope Contreras, Carlos Vázquez
2024 J jnl
Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk.
Int. J. Comput. Math.
Iñigo Arregui, Álvaro Leitao, Beatriz Salvador, Carlos Vázquez
2023 J jnl
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk.
J. Comput. Appl. Math.
Joel P. Villarino, Álvaro Leitao, José Antonio García-Rodríguez
2023 — ed.
Proceedings of V XoveTIC Conference, XoveTIC 2022, A Coruña, Spain, 5-6 October 2022.
XoveTIC
Álvaro Leitao, Lucía Ramos
2022 — conf
Boundary-safe PINNs extension.
XoveTIC
Joel P. Villarino, José Antonio García-Rodríguez, Álvaro Leitao
2022 J jnl
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk.
CoRR
Joel P. Villarino, Álvaro Leitao, José Antonio García-Rodríguez
2022 J jnl
The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread.
Commun. Nonlinear Sci. Numer. Simul.
Álvaro Leitao, Carlos Vázquez
2021 J jnl
Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method.
Comput. Stat. Data Anal.
Justin Lars Kirkby, Álvaro Leitao, Duy Nguyen
2020 J jnl
A stochastic θ-SEIHRD model: adding randomness to the COVID-19 spread.
CoRR
Álvaro Leitao, Carlos Vázquez
2020 J jnl
Model-free computation of risk contributions in credit portfolios.
Appl. Math. Comput.
Álvaro Leitao, Luis Ortiz-Gracia
2020 J jnl
On Calibration Neural Networks for extracting implied information from American options.
CoRR
Shuaiqiang Liu, Álvaro Leitao, Anastasia Borovykh, Cornelis W. Oosterlee
2019 J jnl
BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems.
Int. J. Comput. Math.
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
2018 J jnl
On the data-driven COS method.
Appl. Math. Comput.
Álvaro Leitao, Cornelis W. Oosterlee, Luis Ortiz-Gracia, Sander M. Bohté
2018 J jnl
SWIFT valuation of discretely monitored arithmetic Asian options.
J. Comput. Sci.
Álvaro Leitao, Luis Ortiz-Gracia, Emma I. Wagner
2017 J jnl
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options.
Appl. Math. Comput.
Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee
2015 J jnl
GPU acceleration of the stochastic grid bundling method for early-exercise options.
Int. J. Comput. Math.
Álvaro Leitao, Cornelis W. Oosterlee
2013 J jnl
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs.
Math. Comput. Simul.
J. L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Álvaro Leitao, José G. López-Salas, Carlos Vázquez