Nuevos modelos de valoración de tipo autocallable sobre equity y Bermudan swaption sobre tipos
| Funding entity | BBVA |
| Main researches | Carlos Vázquez Cendón |
| Type | Contrato |
| Dates | From 01/11/2021 to 30/04/2023 |
| Department | Mathematics |
| Knowledgment area | Applied Mathematics |
| Research | Research group Modelos y métodos numéricos en ingeniería y ciencias aplicadas |
| Research lines | Computational finanze |
| Contacto | UDC directory |
| Orcid id0000-0002-3442-4587 ResearcherIDY-9176-2019 Scopus56814487000 | |
This section shows the teaching given in degrees, masters and other officers studies in last 6 years.
| Subject and involved studies | Type | Distance hours | Total hours |
|---|---|---|---|
| Calculus | Core | 0 | 20 |
| Multivariable Calculus | Core | 0 | 60 |
| Numerical Methods in Quantum Computing | Optional | 0 | 12.5 |
| Practical Applications of Quantum Computing | Optional | 0 | 7.5 |
| Subject and involved studies | Type | Distance hours | Total hours |
|---|---|---|---|
|
Calculus
Degree in Computer Engineering
|
Core | 0 | 50 |
|
Multivariable Calculus
Degree in Data Science and Engineering
|
Core | 0 | 30 |
| Subject and involved studies | Type | Distance hours | Total hours |
|---|---|---|---|
|
Calculus
Degree in Computer Engineering
|
Core | 0 | 80 |
No available EOG works or final master thesis directed by current teacher since 2013 year.
Select merit type and year to query research merits.
Nuevos modelos de valoración de tipo autocallable sobre equity y Bermudan swaption sobre tipos
| Funding entity | BBVA |
| Main researches | Carlos Vázquez Cendón |
| Type | Contrato |
| Dates | From 01/11/2021 to 30/04/2023 |
Axuda para a acreditación, estruturación e mellora de centros de investigación do Sistema universitario de Galicia
| Funding entity | CONSELLERIA DE EDUCACIÓN, UNIVERSIDADE E FORMACIÓN PROFESIONAL |
| Main researches | Manuel Francisco González Penedo |
| Type | Proyecto Programas Autonomicos |
| Dates | From 01/12/2019 to 28/02/2023 |
Valuation Adjustments for Improved Risk Management (ABC-EU-XVA)
| Funding entity | Union Europea |
| Main researches | Carlos Vázquez Cendón |
| Type | Proyecto UE |
| Dates | From 01/11/2018 to 31/10/2022 |
Axudas para a acreditación, estruturación e mellora de centros de investigación singulares e agrupacións estratéxicas consolidadas do Sistema universitario de Galicia, cofinanciadas polo Fondo Europeo de Desenvolvemento Rexional (Feder), no marco do programa operativo Feder Galicia 2014-2020
| Funding entity | Consellería de Cultura, Educación e Ordenación Universitaria |
| Main researches | Manuel F. González Penedo |
| Type | Proyecto Programas Autonomicos |
| Dates | From 01/01/2016 to 30/11/2019 |
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk
| Authors | Joel P. Villarino, Álvaro Leitao, Jose Antonio García-Rodríguez |
| Journal | Journal of Computational and Applied Mathematics Vol. 425 |
| DOI | https://doi.org/10.1016/j.cam.2022.115041 |
Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
| Authors | I. Arregui, Álvaro Leitao, B. Salvador, C. Vázquez |
| Journal | INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS Vol. 101 Num. 8 (pages 821 to 841) |
| DOI | https://doi.org/10.1080/00207160.2023.2172322 |
Real Quantum Amplitude Estimation
| Authors | A. Manzano Herrero, D. Musso, A. Leitao |
| Journal | EPJ Quantum Technology |
| DOI | https://doi.org/10.1140/epjqt/s40507-023-00159-0 |
Spline local basis methods for nonparametric density estimation
| Authors | J. Lars Kirkby, A. Leitao, Duy Nguyen |
| Journal | Statistics Surveys Vol. 17 (pages 75 to 118) |
| DOI | https://doi.org/10.1214/23-ss142 |
On a Neural Networks to Extract implied information from American options
| Authors | Shuaiqiang Liu, Álvaro Leitao Rodríguez, Anastasia Borovykh, Cornelis W. Oosterlee |
| Journal | Applied Mathematical Finance Vol. 28 Num. 5 (pages 449 to 475) |
| DOI | https://doi.org/10.1080/1350486x.2022.2097099 |
A stochastic ¿-SEIHRD model: adding randomness to the COVID-19 spread
| Authors | Álvaro Leitao, Carlos Vázquez |
| Journal | Communications in Nonlinear Science and Numerical Simulation Vol. 115 (pages 1 to 19) |
| DOI | https://doi.org/10.1016/j.cnsns.2022.106731 |
A modular framework for generic quantum algorithms
| Authors | A. Manzano Herrero, D. Musso, Álvaro Leitao, A. Gómez, Carlos Vázquez, G. Ordoñez, María R. Nogueiras |
| Journal | Mathematics Vol. 10 Num. 5 |
| DOI | https://doi.org/10.3390/math10050785 |
A Survey on Quantum Computational Finance for Derivatives Pricing and VaR
| Authors | A. Gómez, Álvaro Leitao, A. Manzano Herrero, D. Musso, María R. Nogueiras, G. Ordoñez, C. Vázquez |
| Journal | ARCHIVES OF COMPUTATIONAL METHODS IN ENGINEERING Vol. 29 Num. 6 (pages 4137 to 4163) |
| DOI | https://doi.org/10.1007/s11831-022-09732-9 |
Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method
| Authors | J. Lars Kirkby, Álvaro Leitao, Duy Nguyen |
| Journal | COMPUTATIONAL STATISTICS & DATA ANALYSIS Vol. 159 (pages 107202 to 107202) |
The CTMC-Heston model: calibration and exotic option pricing with SWIFT
| Authors | Álvaro Leitao, Justin Lars Kirkby, Luis Ortiz-Gracia |
| Journal | Journal of Computational Finance Vol. 24 Num. 4 (pages 71 to 114) |
Model-free computation of risk contributions in credit portfolios
| Authors | Álvaro Leitao, Luis Ortiz-Gracia |
| Journal | Applied Mathematics and Computation Vol. 382 (pages 125351 to 125351) |
BENCHOP-SLV: The BENCHmarking project in option pricing - Stochastic and Local Volatility problems
| Authors | Lina von Sydow, Slobodan Milovanovic, Elisabeth Larsson, Karel In't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Álvaro Leitao, Shashi Jain, Tinne Haentjens, Johan Wald'en |
| Journal | INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS Vol. 96 Num. 10 (pages 1910 to 1923) |
| DOI | https://doi.org/10.1080/00207160.2018.1544368 |
Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options
| Authors | Shashi Jain, Álvaro Leitao, Cornelis W. Oosterlee |
| Journal | Journal of Computational Science Vol. 33 (pages 95 to 112) |
On the data-driven COS method
| Authors | Álvaro Leitao, Cornelis W. Oosterlee, Luis Ortiz-Gracia, Sander M. Bohte |
| Journal | Applied Mathematics and Computation Vol. 317 Num. Supplement C (pages 68 to 84) |
SWIFT valuation of discretely monitored arithmetic Asian options
| Authors | Álvaro Leitao, Luis Ortiz-Gracia, Emma I. Wagner |
| Journal | Journal of Computational Science Vol. 28 (pages 120 to 139) |
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options
| Authors | Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee |
| Journal | Applied Mathematics and Computation Vol. 293 (pages 461 to 479) |
On an efficient multiple time step Monte Carlo simulation of the SABR model
| Authors | Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee |
| Journal | Quantitative Finance Vol. 17 Num. 10 (pages 1549 to 1565) |
| DOI | https://doi.org/10.1080/14697688.2017.1301676 |
GPU Acceleration of the Stochastic Grid Bundling Method for Early-Exercise options
| Authors | Álvaro Leitao, Cornelis W. Oosterlee |
| Journal | INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS Vol. 92 Num. 12 (pages 2433 to 2454) |
| DOI | https://doi.org/10.1080/00207160.2015.1067689 |
Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
| Authors | José Luis Fernández Pérez, A.M. Ferreiro-Ferreiro, Jose Antonio García-Rodríguez, Álvaro Leitao, Jose German Lopez Salas, Carlos Vázquez |
| Journal | MATHEMATICS AND COMPUTERS IN SIMULATION Vol. 94 (pages 55 to 75) |
Modelos matemáticos y métodos numéricos en finanzas cuantitativas: Con ejercicios y código en Python y Matlab
| Authors | C.W. Oosterlee, L. A. Grzelak, Álvaro Leitao |
| Editors | C.W. Oosterlee, L. A. Grzelak, Álvaro Leitao |
| Publishing | Aula Magna, McGraw-Hill Interamericana de España S.L., Sevilla (España) |
| ISBN | 9788418808241 |
Quantum Arithmetic for Directly Embedded Arrays
| Authors | A. Manzano Herrero. D. Musso. Álvaro Leitao. Andrés Gómez. Carlos Vázquez. G. Ordoñez. M. Rodríguez Nogueiras |
| Book |
The 4th XoveTIC Conference Vol. 1 Publishing: MDPI. ISBN: 978-3-0365-2497-9 |
| Pages | From 45 to 45 |
SWIFT valuation of discretely monitored arithmetic Asian options under exponential Lévy processes
| Authors | Álvaro Leitao Rodríguez. Luis Ortiz-Gracia. Emma I. Wagner |
| Book |
Proceedings of the 2018 International Conference on Computational and Mathematical Methods in Science and Engineering Publishing: J. Vigo-Aguiar. ISBN: 978-84- 697-7861-6 |
| Pages | From 1 to 1 |
A Highly Efficient Numerical Method for the SABR Model
| Authors | Álvaro Leitao. Cornelis W. Oosterlee.. Lech A. Grzelak |
| Book |
Novel Methods for Computational Finance Publishing: SPRINGER. ISBN: 978-3-319-61281-2 |
| Pages | From 253 to 263 |
Modern Monte Carlo Methods and GPU Computing
| Authors | Álvaro Leitao. Cornelis W. Oosterlee. |
| Book |
Novel Methods for Computational Finance Publishing: SPRINGER. ISBN: 978-3-319-61281-2 |
| Pages | From 465 to 476 |
On a GPU acceleration of the Stochastic Grid Bundling Method
| Authors | Álvaro Leitao. Cornelis W. Oosterlee |
| Book |
Progress in Industrial Mathematics at ECMI 2014 Publishing: SPRINGER. ISBN: 978-3-319-23412-0 |
| Pages | From 207 to 216 |
Efficient Multiple Time-Step Simulation of the SABR Model
| Authors | Álvaro Leitao. Lech A. Grzelak. Cornelis W. Oosterlee |
| Book |
Progress in Industrial Mathematics at ECMI 2016 Publishing: SPRINGER. ISBN: 978-3-319-63081-6 |
| Pages | From 145 to 152 |
Modeling mathematical analysis and numerical simulation of problems related to XVA
IV International Conference on computational Finance (ICCF 2022).
International
| Authors | B. Salvador, C. Vázquez, I. Arregui, Álvaro Leitao, C.W. Oosterlee, D. Sevcovic |
| Organization | BERGISCHE UNIVERSITAET WUPPERTAL |
| Place | Wuppertal (Alemania) |
PINNs for pricing European options considering counterparty Risk. Minisymposia on Neural Networks enhancing Computations in Finance
IV International Conference on computational Finance (ICCF 2022).
International
| Authors | J. Pérez Villarino, Álvaro Leitao Rodríguez, Jose Antonio García-Rodríguez |
| Organization | BERGISCHE UNIVERSITAET WUPPERTAL |
| Place | Wuppertal (Alemania) |
Physics-informed neural networks for pricing European options considering counterparty risk
XoveTIC 2022
International
| Authors | J. Pérez Villarino, Álvaro Leitao Rodríguez, Jose Antonio García-Rodríguez |
| Organization | Centro de Investigación en Tecnoloxías da Información e as Comunicacións (CITIC) |
| Place | Coruña, A (España) |
On an efficient one and multiple time-step Monte Carlo simulation of the SABR model
21st European Conference on Mathematics for Industry (ECMI 2021)
International
| Authors | Álvaro Leitao Rodríguez, Lech A. Grzelak, Cornelis W. Oosterlee. |
| Place | Online (Alemania) |
Neural Networks for extracting implied information from American options
CEDYA/CMA 2020 - XXVI CONGRESO DE ECUACIONES DIFERENCIALES Y APLICACIONES / XVI CONGRESO DE MATEMÁTICA APLICADA
International
| Authors | Shuaiqiang Liu, Álvaro Leitao Rodríguez, Anastasia Borovykh, Cornelis W. Oosterlee |
| Place | Gijón (España) |
Deep-learning based method for computing initial margin
XoveTic 2021
International
| Authors | Álvaro Leitao Rodríguez, J. Pérez Villarino |
| Organization | Centro de Investigación en Tecnoloxías da Información e as Comunicacións (CITIC) |
| Place | Coruña, A (España) |
Quantum Arithmetic for Directly Embedded Arrays 2: Advanced Operations and Applications
2nd European Quantum Technologies Virtual Conference (EQTC)
International
| Authors | A. Manzano Herrero, D. Musso, Álvaro Leitao, A. Gómez, C. Vázquez, G. Ordoñez |
| Organization | National University of Ireland |
| Place | Galway - online (Irlanda) |
Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield
III XoveTIC 2020
International
| Authors | Shuaiqiang Liu, Álvaro Leitao, Anastasia Borovykh, Cornelis W. Oosterlee |
| Organization | Centro de Investigación en Tecnoloxías da Información e as Comunicacións (CITIC) |
| Place | Coruña, A (España) |
Continuous Time Markov Chain approximation of the Heston model
International Conference on Computational Finance 2019 (ICCF2019)
International
| Authors | Álvaro Leitao Rodríguez, Justin L. Kirkby, Luis Ortiz-Gracia |
| Organization | Universidade da Coruña (UDC) |
| Place | Coruña, A (España) |
SWIFT valuation of discretely monitored arithmetic Asian options under exponential Lévy processes
18th International Conference on Computational and Mathematical Methods in Science and Engineering (CMMSE 2018)
International
| Authors | Álvaro Leitao Rodríguez, Luis Ortiz-Gracia, Emma I. Wagner |
| Place | Rota (España) |
Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for earlyexercise options
QuantMinds International 2018
International
| Authors | Álvaro Leitao |
| Place | Lisboa (Portugal) |
The data-driven COS method
17th International Conference on Computational and Mathematical Methods in Sciencien and Engineerging, CMMSE 2017
International
| Authors | Álvaro Leitao Rodríguez, Cornelis W. Oosterlee., Luis Ortiz-Gracia, Sander M. Bohte |
| Place | Rota (España) |
Monte Carlo-based methods for the BENCHOP project
Applied Mathematics Techniques for Energy Markets in Transition
International
| Authors | Álvaro Leitao Rodríguez, Cornelis W. Oosterlee. |
| Place | Leiden (Países Bajos) |
Efficient one and multiple time-step simulation of the SABR model
MathFinance conference 2017
International
| Authors | Álvaro Leitao Rodríguez |
| Place | Frankfurt (Alemania) |
On a GPU acceleration of the Stochastic Grid Bundling Method
European Conference Mathematics in Industry (ECMI) 2016
International
| Authors | Álvaro Leitao Rodríguez, Cornelis W. Oosterlee. |
| Organization | European Consortium on Mathematics in Industry |
| Place | Santiago de Compostela (España) |
Pricing early-exercise options: GPU Acceleration of SGBM method
SIAM conference on Uncertainty Quantification (UQ) 2016
International
| Authors | Álvaro Leitao Rodríguez |
| Place | Lausanne (Suiza) |
Stochastic Grid Bundling Method: GPU Acceleration
International Conference of Computational Finance - ICCF2015
International
| Authors | Álvaro Leitao Rodríguez |
| Place | Londres (Reino Unido) |
Stochastic Grid Bundling Method: GPU Acceleration
Stochastics & Computational Finance - from academia to industry (SCF) 2015
International
| Authors | Álvaro Leitao |
| Place | Lisboa (Portugal) |
Academic or management positions held by teacher.