Álvaro Leitao

Available identifiers

Publication	Date of Publication	Type
Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk	2023-06-22	Paper
On a Neural Network to Extract Implied Information from American Options	2022-09-09	Paper
The stochastic \(\theta\)-SEIHRD model: adding randomness to the COVID-19 spread	2022-09-06	Paper
BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems	2022-02-16	Paper
Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs	2021-02-15	Paper
Model-free computation of risk contributions in credit portfolios	2020-06-04	Paper
On the data-driven COS method	2019-06-21	Paper
On a one time-step Monte Carlo simulation approach of the SABR model: application to European options	2019-03-27	Paper
A Highly Efficient Numerical Method for the SABR Model	2019-02-28	Paper
Modern Monte Carlo Methods and GPU Computing	2019-02-28	Paper
On an efficient multiple time step Monte Carlo simulation of the SABR model	2018-11-19	Paper
GPU acceleration of the stochastic grid bundling method for early-exercise options	2016-04-29	Paper

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