Alvaro Leitao Rodriguez
Title
Cited by
Cited by
Year
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options
Á Leitao, LA Grzelak, CW Oosterlee
Applied Mathematics and Computation 293, 461-479, 2017
192017
On an efficient multiple time step Monte Carlo simulation of the SABR model
Á Leitao, LA Grzelak, CW Oosterlee
Quantitative Finance 17 (10), 1549-1565, 2017
182017
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs
CV J.L. Fernandez, A. Ferreiro Ferreiro, J.A. Garcia-Rodriguez, A. Leitao, J ...
Mathematics and Computers in Simulation 94, 55-75, 2013
152013
GPU acceleration of the stochastic grid bundling method for early-exercise options
Á Leitao, CW Oosterlee
International Journal of Computer Mathematics 92 (12), 2433-2454, 2015
112015
On the data-driven COS method
Á Leitao, CW Oosterlee, L Ortiz-Gracia, SM Bohte
Applied Mathematics and Computation 317, 68-84, 2018
7*2018
SWIFT valuation of discretely monitored arithmetic Asian options
Á Leitao, L Ortiz-Gracia, EI Wagner
Journal of computational science 28, 120-139, 2018
62018
The CTMC-Heston Model: Calibration and Exotic Option Pricing with SWIFT
A Leitao Rodriguez, J Kirkby, L Ortiz-Gracia
Available at SSRN 3471806, 2019
42019
BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems
L von Sydow, S Milovanović, E Larsson, K In't Hout, M Wiktorsson, ...
International Journal of Computer Mathematics 96 (10), 1910-1923, 2019
32019
Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options
S Jain, A Leitao, CW Oosterlee
Journal of Computational Science 33, 95-112, 2019
32019
On Calibration Neural Networks for extracting implied information from American options
S Liu, Á Leitao, A Borovykh, CW Oosterlee
arXiv preprint arXiv:2001.11786, 2020
12020
Modern Monte Carlo Methods and GPU Computing
Á Leitao, CW Oosterlee
Novel Methods in Computational Finance, 465-476, 2017
12017
On a One Time-Step SABR Simulation Approach: Application to European Options
A Leitao Rodriguez, LA Grzelak, CW Oosterlee
Available at SSRN 2731537, 2016
12016
Model-free computation of risk contributions in credit portfolios
Á Leitao, L Ortiz-Gracia
Applied Mathematics and Computation 382, 125351, 2020
2020
Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield
S Liu, Á Leitao, A Borovykh, CW Oosterlee
Multidisciplinary Digital Publishing Institute Proceedings 54 (1), 61, 2020
2020
A Crash Course on Python Programming
I Arregui, AM Ferreiro, JA Garcıa, Á Leitao
2019
Model-Free Computation of Risk Contributions in Credit Portfolios
A Leitao Rodriguez, L Ortiz-Gracia
Available at SSRN 3273894, 2018
2018
Asian SWIFT method
Á Leitao, L Ortiz-Gracia, EI Wagner
2018
BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems
M Wiktorsson, CW Oosterlee, V Shcherbakov, M Wyns, A Leitao, S Jain, ...
2018
Hybrid Monte Carlo methods in computational finance
Á Leitao Rodríguez
Delft University of Technology (TU Delft), 2017
2017
A Highly Efficient Numerical Method for the SABR Model
Á Leitao, LA Grzelak, CW Oosterlee
Novel Methods in Computational Finance, 253-263, 2017
2017
The system can't perform the operation now. Try again later.
Articles 1–20