Álvaro Leitao

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk International Journal of Computer Mathematics	2024-10-28	Paper
Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk Journal of Computational and Applied Mathematics	2023-06-22	Paper
On a neural network to extract implied information from American options Applied Mathematical Finance	2022-09-09	Paper
The stochastic \(\theta\)-SEIHRD model: adding randomness to the COVID-19 spread Communications in Nonlinear Science and Numerical Simulation	2022-09-06	Paper
BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems International Journal of Computer Mathematics	2022-02-16	Paper
Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs Mathematics and Computers in Simulation	2021-02-15	Paper
Model-free computation of risk contributions in credit portfolios Applied Mathematics and Computation	2020-06-04	Paper
On the data-driven COS method Applied Mathematics and Computation	2019-06-21	Paper
On a one time-step Monte Carlo simulation approach of the SABR model: application to European options Applied Mathematics and Computation	2019-03-27	Paper
A highly efficient numerical method for the SABR model Novel Methods in Computational Finance	2019-02-28	Paper
Modern Monte Carlo methods and GPU computing Novel Methods in Computational Finance	2019-02-28	Paper
On an efficient multiple time step Monte Carlo simulation of the SABR model Quantitative Finance	2018-11-19	Paper
GPU acceleration of the stochastic grid bundling method for early-exercise options International Journal of Computer Mathematics	2016-04-29	Paper

Research outcomes over time

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