| On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options Á Leitao, LA Grzelak, CW Oosterlee Applied Mathematics and Computation 293, 461-479, 2017 | 29* | 2017 |
| On an efficient multiple time step Monte Carlo simulation of the SABR model Á Leitao, LA Grzelak, CW Oosterlee Quantitative Finance 17 (10), 1549-1565, 2017 | 23 | 2017 |
| A survey on quantum computational finance for derivatives pricing and var A Gómez, Á Leitao, A Manzano, D Musso, MR Nogueiras, G Ordóñez, ... Archives of Computational Methods in Engineering 29 (6), 4137-4163, 2022 | 22 | 2022 |
| Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs CV J.L. Fernandez, A. Ferreiro Ferreiro, J.A. Garcia-Rodriguez, A. Leitao, J ... Mathematics and Computers in Simulation 94, 55-75, 2013 | 19 | 2013 |
| On the data-driven COS method Á Leitao, CW Oosterlee, L Ortiz-Gracia, SM Bohte Applied Mathematics and Computation 317, 68-84, 2018 | 17* | 2018 |
| SWIFT valuation of discretely monitored arithmetic Asian options Á Leitao, L Ortiz-Gracia, EI Wagner Journal of computational science 28, 120-139, 2018 | 15 | 2018 |
| GPU acceleration of the stochastic grid bundling method for early-exercise options Á Leitao, CW Oosterlee International Journal of Computer Mathematics 92 (12), 2433-2454, 2015 | 15 | 2015 |
| Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method JL Kirkby, Á Leitao, D Nguyen Computational Statistics & Data Analysis 159, 107202, 2021 | 14 | 2021 |
| On a Neural Network to Extract Implied Information from American Options S Liu, Á Leitao, A Borovykh, CW Oosterlee Applied Mathematical Finance 28 (5), 449-475, 2021 | 13* | 2021 |
| Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options S Jain, Á Leitao, CW Oosterlee Journal of Computational Science 33, 95-112, 2019 | 13 | 2019 |
| The CTMC–Heston Model: Calibration and Exotic Option Pricing With SWIFT A Leitao Rodriguez, J Lars Kirkby, L Ortiz-Gracia Journal of Computational Finance 24 (4), 2021 | 11 | 2021 |
| Real quantum amplitude estimation A Manzano, D Musso, Á Leitao EPJ Quantum Technology 10 (1), 1-24, 2023 | 10 | 2023 |
| BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems L von Sydow, S Milovanović, E Larsson, K In't Hout, M Wiktorsson, ... International Journal of Computer Mathematics 96 (10), 1910-1923, 2019 | 9 | 2019 |
| The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread Á Leitao, C Vázquez Communications in Nonlinear Science & Numerical Simulation 115, 2022 | 8 | 2022 |
| Spline local basis methods for nonparametric density estimation JL Kirkby, Á Leitao, D Nguyen Statistic Surveys 17, 75-118, 2023 | 4 | 2023 |
| Model-free computation of risk contributions in credit portfolios Á Leitao, L Ortiz-Gracia Applied Mathematics and Computation 382, 125351, 2020 | 3 | 2020 |
| Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk Í Arregui, Á Leitao, B Salvador, C Vázquez International Journal of Computer Mathematics, 1-21, 2023 | 2 | 2023 |
| A Modular Framework for Generic Quantum Algorithms A Manzano, D Musso, Á Leitao, A Gómez, C Vázquez, G Ordóñez, ... Mathematics 10 (5), 785, 2022 | 2* | 2022 |
| Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk JP Villarino, Á Leitao, JAG Rodríguez Journal of Computational and Applied Mathematics 425, 115041, 2023 | 1 | 2023 |
| Modern Monte Carlo Methods and GPU Computing Á Leitao, CW Oosterlee Novel Methods in Computational Finance, 465-476, 2017 | 1 | 2017 |
Cornelis W. OosterleeUtrecht University, Mathematical Institute在 uu.nl 的电子邮件经过验证
