Álvaro Leitao

Orcid: 0000-0002-3442-4587

According to our database1, Álvaro Leitao authored at least 15 papers between 2013 and 2024.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of four.

Timeline

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Bibliography

2024
Deep Joint Learning valuation of Bermudan Swaptions.
CoRR, 2024

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., 2024

2023
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk.
J. Comput. Appl. Math., June, 2023

2022
The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread.
Commun. Nonlinear Sci. Numer. Simul., 2022

Boundary-safe PINNs extension.
Proceedings of V XoveTIC Conference, 2022

2021
Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method.
Comput. Stat. Data Anal., 2021

2020
On Calibration Neural Networks for extracting implied information from American options.
CoRR, 2020

Model-free computation of risk contributions in credit portfolios.
Appl. Math. Comput., 2020

2019
<i>Rolling Adjoints</i>: Fast Greeks along Monte Carlo scenarios for early-exercise options.
J. Comput. Sci., 2019

BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems.
Int. J. Comput. Math., 2019

2018
SWIFT valuation of discretely monitored arithmetic Asian options.
J. Comput. Sci., 2018

On the data-driven COS method.
Appl. Math. Comput., 2018

2017
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options.
Appl. Math. Comput., 2017

2015
GPU acceleration of the stochastic grid bundling method for early-exercise options.
Int. J. Comput. Math., 2015

2013
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs.
Math. Comput. Simul., 2013


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