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Datos personales
Nombre   Leitao Rodríguez , Álvaro
Área conocimiento   Matemática aplicada
Categoría   Contratado Doctor
Dedicación   Total
Correo   alvaro.leitao@udc.es
Web personal   https://pdi.udc.es/es/File/Pdi/VA5ZH
Grupo investigación   M2NICA

Localización
Centro Campus Teléfono Extensión

Docencia
Titulación(es) Asignatura(s)

Artículos publicados
  • Francisco Gómez-Casanova, Álvaro Leitao, Fernando de Lópe-Contreras, Carlos Vázquez.
    Deep joint learning valuation of Bermudan swaptions.
    International Journal of Computer Mathematics, 102 (2025) , 7 , 913-942.

  • Alberto P. Manzano-Herrero, Gonzlao Ferro, Álvaro Leitao, Carlos Vázquez, Andrés Gómez.
    Alternative pipeline for Option Pricing using Quantum Computers.
    EPJ Quantum Technology, 12 (2025) , 28.

  • Iñigo Arregui, Álvaro Leitao, Beatriz Salvador, Carlos Vázquez.
    Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk.
    International Journal of Computer Mathematics, 101 (2024) , 8 , 821-841.

  • J. Lars Kirkby, Álvaro Leitao, Duy Nguyen.
    Spline local basis methods for nonparametric density estimation.
    Statistics Surveys, 17 (2023) , 75-118.

  • Alberto P. Manzano-Herrero, Daniele Musso, Álvaro Leitao, Andrés Gómez, Carlos Vázquez, Gustavo Ordóñez and María R. Nogueiras.
    A modular framework for generic quantum algorithms.
    Mathematics, 10 (2022) , 5 , 785.

  • Andrés Gómez, Álvaro Leitao, Alberto Manzano, Daniele Musso, María R. Nogueiras, Gustavo Ordoñez, Carlos Vázquez.
    A Survey on Quantum computational finance for derivatives pricing and VAR.
    Archives of Computational Methods in Engineering, 29 (2022) , 4137–4163.

  • Álvaro Leitao-Rodríguez, Carlos Vázquez.
    A stochastic theta-SEIHRD model: adding randomness to covid-19 spread.
    Communications in Nonlinear Science and Numerical Simulation, 115 (2022) , 106731.

  • Shuaiqiang Liu, Álvaro Leitao, Anastasia Borovykh, Cornelis W. Oosterlee.
    On a Neural Network to Extract Implied Information from American Options.
    Applied Mathematical Finance, 28 (2022) , 5 , 449-475.

  • Álvaro Leitao, J. Lars Kirkby, Luis Ortiz-Gracia.
    The CTMC–Heston model: calibration and exotic option pricing with SWIFT.
    Journal of Computational Finance, 24 (2021) , 4 , 71-114.

  • J. Lars Kirkby, Álvaro Leitao, Duy Nguyen.
    Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method.
    Computational Statistics and Data Analysis, 159 (2021) , 107202.

  • Guillermo Ferreira, Jorge Mateu, José A. Vilar, Joel Muñoz .
    Bootstrapping regression models with locally stationary disturbances.
    Test, 30 (2021) , 341-363.

  • C. F. Nicoletti, C. Cortes-Oliveira, N. Y. Noronha, M. A. S. Pinhel, W. S. Dantas, A. Jácome, J. S. Marchini, B. Gualano, A. B. Crujeiras & C. B. Nonino.
    DNA methylation pattern changes following a short-term hypocaloric diet in women with obesity.
    European Journal of Clinical Nutrition, 74 (2020) , 1345-1353.

  • Álvaro Leitao Rodríguez, Justin Lars Kirkby, Luis Ortiz Gracia..
    The CTMC-Heston Model: Calibration and Exotic Option Pricing with SWIFT.
    Social Science Research Network, 0 (2019) , .

  • Shashi Jain, Álvaro Leitao Rodríguez, Cornelis W. Oosterlee..
    Rolling adjoints: fast Greeks along Monte Carlo scenarios for early-exercise options.
    Journal of Computational Science, 33 (2019) , 95-112.

  • Álvaro Leitao Rodríguez, Cornelis W. Oosterlee, Luis Ortiz Gracia, Sander M. Bohte.
    On the data-driven COS method.
    Applied Mathematics and Computation, 317 (2018) , 15 , 68-84.

  • Álvaro Leitao Rodríguez; Luis Ortiz Gracia; Emma I. Wagner.
    SWIFT valuation of discretely monitored arithmetic Asian options.
    Journal of Computational Science, 28 (2018) , 120-139.

  • Lina von Sydow, Slobodan Milovanovic, Elisabeth Larsson, Karel In't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Alvaro Leitao, Shashi Jain, Tinne Haentjens, Johan Walden.
    BENCHOP–SLV: The BENCHmarking project in option pricing – Stochastic and Local Volatility problems.
    International Journal of Computer Mathematics, 10 (2018) , 1910-1923.

  • Álvaro Leitao Rodríguez, Luis Ortiz Gracia.
    Model-free computation of risk contributions in credit portfolios.
    Social Science Research Network, 0 (2018) , .

  • Álvaro Leitao Rodríguez, Lech A. Grzelak, Cornelis W. Oosterlee.
    On an efficient multiple time-step Monte Carlo simulation of the SABR model.
    Quantitative Finance, 17 (2017) , 10 , 1549-1565.

  • Álvaro Leitao Rodríguez, Lech A. Grzelak, Cornelis W. Oosterlee.
    On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options.
    Applied Mathematics and Computation, 293 (2017) , 15 , 461-479.

  • Álvaro Leitao Rodríguez; Cornelis W. Oosterlee.
    GPU acceleration of the stochastic grid bundling method for early-exercise options.
    International Journal of Computer Mathematics, 92 (2015) , 12 , 2433-2454.

  • José Luis Fernández, Ana María Ferreiro, José Antonio García, Alvaro Leitao, José Germán López-Salas, Carlos Vázquez.
    Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs.
    Mathematics and Computers in Simulation, 94 (2013) , 55-75.