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Other researchers information

Personal Data
Name   Leitao Rodríguez, Álvaro
Knowledge area   Matemática aplicada
Faculty position   Contratado Postdoctoral
Institution   Ministerio de Ciencia e Innovación

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.