Browsing by Author Leitao, Alvaro
Showing results 1 to 4 of 4
| Issue Date | Title | Author(s) |
|---|---|---|
| Oct-2020 | Model-free computation of risk contributions in credit portfolios | Leitao, Alvaro; Ortiz Gracia, Luis |
| 2018 | On the data-driven COS method | Leitao, Alvaro; Oosterlee, C. W. (Cornelis W.); Ortiz Gracia, Luis; Bohte, Sander M. |
| 2018 | SWIFT valuation of discretely monitored arithmetic Asian options | Leitao, Alvaro; Ortiz Gracia, Luis; Wagner, Emma I. |
| 1-Mar-2021 | The CTMC-Heston model: calibration and exotic option pricing with SWIFT | Leitao, Alvaro; Kirkby, J. Lars; Ortiz Gracia, Luis |