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Published papers
| Name | Leitao Rodríguez, Álvaro |
| Knowledge area | Matemática aplicada |
| Faculty position | Contratado Postdoctoral |
| Institution | Ministerio de Ciencia e Innovación |
| alvaro.leitao@udc.es | |
Published papers
- 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, Justin Lars Kirkby, Luis Ortiz Gracia..
The CTMC-Heston Model: Calibration and Exotic Option Pricing with SWIFT.
Social Science Research Network, 0 (2019) , .
- 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.
Applied Mathematical Modelling, 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.
Applied Mathematics and Mechanics, 10 (2018) , 1910-1923.