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Álvaro Leitao

Observed names: A. Leitao, Alvaro Leitao, Alvaro Leitao Rodriguez, Leitao Rodríguez, Álvaro, Leitao, Alvaro, Leitao, Álvaro, Á. Leitao, Álvaro Leitao Rodríguez, Álvaro Leitao Rodríguez, Álvaro Leitao-Rodríguez, Álvaro, Leitao-Rodríguez
Observed institutions: Universidade da Coruña, Centrum Wiskunde & Informatica, Universitat Oberta de Catalunya, Barcelona Graduate School of Mathematics, CITIC Group (China), Indian Institute of Science Bangalore, Universitat de Barcelona, Delft University of Technology
ORCID: 0000-0002-3442-4587
Observed ORCID: 0000-0002-3442-4587
OpenAlex ID: A5047745167
A Survey on Quantum Computational Finance for Derivatives Pricing and VaR
2022 · Andrés Gómez, Álvaro Leitao, et al. · Archives of Computational Methods in Engineering · 28
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On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options
2016 · Álvaro Leitao, Lech A. Grzelak, et al. · Applied Mathematics and Computation · 27
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On an efficient multiple time step Monte Carlo simulation of the SABR model
2017 · Álvaro Leitao, Lech A. Grzelak, et al. · Quantitative Finance · 23
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Real quantum amplitude estimation
2023 · Alberto Manzano, Daniele Musso, et al. · EPJ Quantum Technology · 16
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Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method
2021 · J. Lars Kirkby, Álvaro Leitao, et al. · Computational Statistics & Data Analysis · 15
On the data-driven COS method
2017 · Álvaro Leitao, Cornelis W. Oosterlee, et al. · Applied Mathematics and Computation · 15
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Rolling Adjoints : Fast Greeks Along Monte Carlo Scenarios for Early-Exercise Options
2017 · Shashi Jain, Álvaro Leitao, et al. · Journal of Computational Science · 15
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs
2013 · J.L. Fernández, A.M. Ferreiro, et al. · Mathematics and Computers in Simulation · 14
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GPU acceleration of the stochastic grid bundling method for early-exercise options
2015 · Álvaro Leitao, Cornelis W. Oosterlee · International Journal of Computer Mathematics · 12
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Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk
2023 · Joel P. Villarino, Álvaro Leitao, et al. · Journal of Computational and Applied Mathematics · 11
The CTMC-Heston Model: Calibration and Exotic Option Pricing with SWIFT
2019 · Alvaro Leitao Rodriguez, Justin Kirkby, et al. · SSRN Electronic Journal · 11
BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems
2018 · Lina von Sydow, Slobodan Milovanović, et al. · International Journal of Computer Mathematics · 11
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SWIFT valuation of discretely monitored arithmetic Asian options
2018 · Álvaro Leitao, Luis Ortiz-Gracia, et al. · Journal of Computational Science · 11
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The CTMC–Heston model: calibration and exotic option pricing with SWIFT
2021 · Álvaro Leitao, J Kirkby, et al. · The Journal of Computational Finance · 10
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The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread
2022 · Álvaro Leitao, Carlos Vázquez · Communications in Nonlinear Science and Numerical Simulation · 9
On a Neural Network to Extract Implied Information from American Options
2021 · Shuaiqiang Liu, Álvaro Leitao, et al. · Applied Mathematical Finance · 9
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Spline local basis methods for nonparametric density estimation
2023 · J. Lars Kirkby, Álvaro Leitao, et al. · Statistics Surveys · 8
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Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
2023 · Íñigo Arregui, Álvaro Leitao, et al. · International Journal of Computer Mathematics · 4
Model-free computation of risk contributions in credit portfolios
2020 · Álvaro Leitao, Luis Ortiz-Gracia · Applied Mathematics and Computation · 3
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On an Efficient Multiple Time-Step Monte Carlo Simulation of the SABR Model
2016 · Alvaro Leitao Rodriguez, Lech A. Grzelak, et al. · SSRN Electronic Journal · 3
GPU Acceleration of the Stochastic Grid Bundling Method for Early-Exercise Options
2016 · Alvaro Leitao Rodriguez, Cornelis W. Oosterlee · SSRN Electronic Journal · 3
A Modular Framework for Generic Quantum Algorithms
2022 · Alberto Manzano, Daniele Musso, et al. · Mathematics · 2
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On Calibration Neural Networks for extracting implied information from American options
2020 · Liu, Shuaiqiang, Leitao, Álvaro, et al. · RePEc: Research Papers in Economics · 2
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SWIFT Valuation of Discretely Monitored Arithmetic Asian Options
2018 · Alvaro Leitao Rodriguez, Luis Ortiz-Gracia, et al. · SSRN Electronic Journal · 2
Deep joint learning valuation of Bermudan swaptions
2025 · Francisco Gómez-Casanova, Álvaro Leitao, et al. · International Journal of Computer Mathematics · 1
Works count: 104
Citation count: 271
H-index: 11
I10-index: 14
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