Skip to contents Leitao Rodriguez, Alvaro [Author] ; Ortiz-Gracia, Luis [Other] Model-Free Computation of Risk Contributions in Credit Portfolios Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=3273894 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2020] Leitao Rodriguez, Alvaro [Author] ; Kirkby, Justin [Other]; Ortiz-Gracia, Luis [Other] The CTMC-Heston Model : Calibration and Exotic Option Pricing with SWIFT Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=3471806 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2019] Leitao Rodriguez, Alvaro [Author] ; Oosterlee, Cornelis W. [Other] GPU Acceleration of the Stochastic Grid Bundling Method for Early-Exercise Options Books View online Schließen > Access https://ssrn.com/abstract=2731568 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018] Leitao Rodriguez, Alvaro [Author] ; Grzelak, Lech A. [Other]; Oosterlee, Cornelis W. [Other] On a One Time-Step SABR Simulation Approach : Application to European Options Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=2731537 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018] Leitao Rodriguez, Alvaro [Author] ; Grzelak, Lech A. [Other]; Oosterlee, Cornelis W. [Other] On an Efficient Multiple Time-Step Monte Carlo Simulation of the SABR Model Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=2764908 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018] Leitao Rodriguez, Alvaro [Author] ; Oosterlee, Cornelis W. [Other]; Ortiz-Gracia, Luis [Other]; Bohte, Sander [Other] On the Data-Driven COS Method Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=2917536 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018] Published in: Applied Mathematics and Computation 317: 68-84, 2018 Leitao Rodriguez, Alvaro [Author] ; Ortiz-Gracia, Luis [Other]; Wagner, Emma I. [Other] SWIFT Valuation of Discretely Monitored Arithmetic Asian Options Books View online Schließen > Access https://ssrn.com/abstract=3124902 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018] Jain, Shashi [Author] ; Leitao Rodriguez, Alvaro [Other]; Oosterlee, Cornelis W. [Other] Rolling Adjoints : Fast Greeks Along Monte Carlo Scenarios for Early-Exercise Options Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=3093846 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018] Kirkby, Justin [Author]; Leitao Rodriguez, Alvaro [Author]; Nguyen, Duy [Author] Spline Local Basis Methods for Nonparametric Density Estimation Books View online Schließen > Access https://ssrn.com/abstract=4391783 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2023] Kirkby, Justin [Author]; Leitao Rodriguez, Alvaro [Author]; Nguyen, Duy [Author] Nonparametric Density Estimation and Bandwidth Selection with B-spline bases : a Novel Galerkin Method Books View online Schließen > Access https://ssrn.com/abstract=3769651 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2021] Kirkby, Justin; Leitao Rodriguez, Alvaro; Nguyen, Duy Spline Local Basis Methods for Nonparametric Density Estimation Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2023 Published in: SSRN Electronic Journal Kirkby, Justin; Leitao Rodriguez, Alvaro; Nguyen, Duy Nonparametric Density Estimation and Bandwidth Selection with B-spline bases: a Novel Galerkin Method Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2021 Published in: SSRN Electronic Journal Leitao Rodriguez, Alvaro; Ortiz-Gracia, Luis Model-Free Computation of Risk Contributions in Credit Portfolios Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2018 Published in: SSRN Electronic Journal Leitao Rodriguez, Alvaro; Oosterlee, Cornelis W. GPU Acceleration of the Stochastic Grid Bundling Method for Early-Exercise Options Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2014 Published in: SSRN Electronic Journal Leitao Rodriguez, Alvaro; Kirkby, Justin; Ortiz-Gracia, Luis The CTMC-Heston Model: Calibration and Exotic Option Pricing with SWIFT Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2019 Published in: SSRN Electronic Journal Leitao Rodriguez, Alvaro; Ortiz-Gracia, Luis; Wagner, Emma I. SWIFT Valuation of Discretely Monitored Arithmetic Asian Options Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2018 Published in: SSRN Electronic Journal Jain, Shashi; Leitao Rodriguez, Alvaro; Oosterlee, Cornelis W. Rolling Adjoints : Fast Greeks Along Monte Carlo Scenarios for Early-Exercise Options Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2017 Published in: SSRN Electronic Journal Leitao Rodriguez, Alvaro; Grzelak, Lech Aleksander; Oosterlee, Cornelis W. On a One Time-Step SABR Simulation Approach: Application to European Options Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2016 Published in: SSRN Electronic Journal Leitao Rodriguez, Alvaro; Grzelak, Lech A.; Oosterlee, Cornelis W. On an Efficient Multiple Time-Step Monte Carlo Simulation of the SABR Model Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2016 Published in: SSRN Electronic Journal Leitao Rodriguez, Alvaro; Oosterlee, Cornelis W.; Ortiz-Gracia, Luis; Bohte, Sander On the Data-Driven COS Method Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2017 Published in: SSRN Electronic Journal
Leitao Rodriguez, Alvaro [Author] ; Ortiz-Gracia, Luis [Other] Model-Free Computation of Risk Contributions in Credit Portfolios Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=3273894 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2020]
Leitao Rodriguez, Alvaro [Author] ; Kirkby, Justin [Other]; Ortiz-Gracia, Luis [Other] The CTMC-Heston Model : Calibration and Exotic Option Pricing with SWIFT Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=3471806 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2019]
Leitao Rodriguez, Alvaro [Author] ; Oosterlee, Cornelis W. [Other] GPU Acceleration of the Stochastic Grid Bundling Method for Early-Exercise Options Books View online Schließen > Access https://ssrn.com/abstract=2731568 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018]
Leitao Rodriguez, Alvaro [Author] ; Grzelak, Lech A. [Other]; Oosterlee, Cornelis W. [Other] On a One Time-Step SABR Simulation Approach : Application to European Options Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=2731537 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018]
Leitao Rodriguez, Alvaro [Author] ; Grzelak, Lech A. [Other]; Oosterlee, Cornelis W. [Other] On an Efficient Multiple Time-Step Monte Carlo Simulation of the SABR Model Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=2764908 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018]
Leitao Rodriguez, Alvaro [Author] ; Oosterlee, Cornelis W. [Other]; Ortiz-Gracia, Luis [Other]; Bohte, Sander [Other] On the Data-Driven COS Method Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=2917536 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018] Published in: Applied Mathematics and Computation 317: 68-84, 2018
Leitao Rodriguez, Alvaro [Author] ; Ortiz-Gracia, Luis [Other]; Wagner, Emma I. [Other] SWIFT Valuation of Discretely Monitored Arithmetic Asian Options Books View online Schließen > Access https://ssrn.com/abstract=3124902 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018]
Jain, Shashi [Author] ; Leitao Rodriguez, Alvaro [Other]; Oosterlee, Cornelis W. [Other] Rolling Adjoints : Fast Greeks Along Monte Carlo Scenarios for Early-Exercise Options Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=3093846 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018]
Kirkby, Justin [Author]; Leitao Rodriguez, Alvaro [Author]; Nguyen, Duy [Author] Spline Local Basis Methods for Nonparametric Density Estimation Books View online Schließen > Access https://ssrn.com/abstract=4391783 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2023]
Kirkby, Justin [Author]; Leitao Rodriguez, Alvaro [Author]; Nguyen, Duy [Author] Nonparametric Density Estimation and Bandwidth Selection with B-spline bases : a Novel Galerkin Method Books View online Schließen > Access https://ssrn.com/abstract=3769651 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2021]
Kirkby, Justin; Leitao Rodriguez, Alvaro; Nguyen, Duy Spline Local Basis Methods for Nonparametric Density Estimation Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2023 Published in: SSRN Electronic Journal
Kirkby, Justin; Leitao Rodriguez, Alvaro; Nguyen, Duy Nonparametric Density Estimation and Bandwidth Selection with B-spline bases: a Novel Galerkin Method Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2021 Published in: SSRN Electronic Journal
Leitao Rodriguez, Alvaro; Ortiz-Gracia, Luis Model-Free Computation of Risk Contributions in Credit Portfolios Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2018 Published in: SSRN Electronic Journal
Leitao Rodriguez, Alvaro; Oosterlee, Cornelis W. GPU Acceleration of the Stochastic Grid Bundling Method for Early-Exercise Options Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2014 Published in: SSRN Electronic Journal
Leitao Rodriguez, Alvaro; Kirkby, Justin; Ortiz-Gracia, Luis The CTMC-Heston Model: Calibration and Exotic Option Pricing with SWIFT Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2019 Published in: SSRN Electronic Journal
Leitao Rodriguez, Alvaro; Ortiz-Gracia, Luis; Wagner, Emma I. SWIFT Valuation of Discretely Monitored Arithmetic Asian Options Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2018 Published in: SSRN Electronic Journal
Jain, Shashi; Leitao Rodriguez, Alvaro; Oosterlee, Cornelis W. Rolling Adjoints : Fast Greeks Along Monte Carlo Scenarios for Early-Exercise Options Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2017 Published in: SSRN Electronic Journal
Leitao Rodriguez, Alvaro; Grzelak, Lech Aleksander; Oosterlee, Cornelis W. On a One Time-Step SABR Simulation Approach: Application to European Options Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2016 Published in: SSRN Electronic Journal
Leitao Rodriguez, Alvaro; Grzelak, Lech A.; Oosterlee, Cornelis W. On an Efficient Multiple Time-Step Monte Carlo Simulation of the SABR Model Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2016 Published in: SSRN Electronic Journal
Leitao Rodriguez, Alvaro; Oosterlee, Cornelis W.; Ortiz-Gracia, Luis; Bohte, Sander On the Data-Driven COS Method Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Elsevier BV, 2017 Published in: SSRN Electronic Journal
> Media type Skip to next facet Articles (17) Wert ausschließen Books (10) Wert ausschließen Show more show less
> Access State Skip to next facet Open Access (14) Wert ausschließen Without Specification (13) Wert ausschließen Show more show less
> Subject Skip to next facet Chemistry and pharmacology (10) Wert ausschließen Medicine (3) Wert ausschließen Show more show less
> Creator Skip to next facet Leitao Rodriguez, Alvaro (20) Wert ausschließen Oosterlee, Cornelis W. (10) Wert ausschließen Ortiz-Gracia, Luis (8) Wert ausschließen Abdul, Nasser (6) Wert ausschließen Adams, Fran (6) Wert ausschließen Adragão, Pedro (6) Wert ausschließen Ageno, Walter (6) Wert ausschließen Aggarwal, Rajesh (6) Wert ausschließen Agosti, Sergio (6) Wert ausschließen Aguilar, Francisco (6) Wert ausschließen Aguinaga, Luis (6) Wert ausschließen Ainsworth, Paul (6) Wert ausschließen Al-Dallow, Raed (6) Wert ausschließen Alderson, Lisa (6) Wert ausschließen Alexopoulos, Dimitrios (6) Wert ausschließen Aliyar, Pareed (6) Wert ausschließen Amara, Walid (6) Wert ausschließen Amelot, Mathieu (6) Wert ausschließen Amjadi, Nima (6) Wert ausschließen Ammirati, Fabrizio (6) Wert ausschließen Andrawis, Nabil (6) Wert ausschließen Annoni, Giorgio (6) Wert ausschließen Ansalone, Gerardo (6) Wert ausschließen Arias, Juan Carlos (6) Wert ausschließen Armero, Sébastien (6) Wert ausschließen Arora, Chander (6) Wert ausschließen Audouin, Philippe (6) Wert ausschließen Augenbraun, Charles (6) Wert ausschließen Aydin, S. (6) Wert ausschließen Backes, Luciano Marcelo (6) Wert ausschließen Bala, Richard (6) Wert ausschließen Bando, Shigenobu (6) Wert ausschließen Banerjee, Subhash (6) Wert ausschließen Bank, Alan (6) Wert ausschließen Barr, Craig (6) Wert ausschließen Baula, Giovanni (6) Wert ausschließen Behrens, Steffen (6) Wert ausschließen Bell, Alan (6) Wert ausschließen Benhalima, Bouziane (6) Wert ausschließen Berrospi, Percy (6) Wert ausschließen Berti, Sergio (6) Wert ausschließen Berz, Andrea (6) Wert ausschließen Bettencourt, Paulo (6) Wert ausschließen Betzu, Robert (6) Wert ausschließen Bhagwat, Ravi (6) Wert ausschließen Black, Toby (6) Wert ausschließen Bloom, Stephen (6) Wert ausschließen Blumberg, Edwin (6) Wert ausschließen Bo, Mario (6) Wert ausschließen Bongiorni, Maria Grazia (6) Wert ausschließen Boriani, Giuseppe (6) Wert ausschließen Bott, Jochen (6) Wert ausschließen Bottacchi, Edo (6) Wert ausschließen Brautigam, Donald (6) Wert ausschließen Breton, Nicolas (6) Wert ausschließen Briones, Ignacio Rodriguez (6) Wert ausschließen Brkljacic, Diana Delic (6) Wert ausschließen Browne, Kevin (6) Wert ausschließen Brunschwig, Claude (6) Wert ausschließen Buathier, Hervé (6) Wert ausschließen Buenostro, Gabriel Contreras (6) Wert ausschließen Buhl, Aurélie (6) Wert ausschließen Bullinga, John (6) Wert ausschließen Bøhmer, Ellen (6) Wert ausschließen Caccavo, Alberto (6) Wert ausschließen Cai, Shanglang (6) Wert ausschließen Calvi, Valeria (6) Wert ausschließen Candeias, Rui (6) Wert ausschließen Capucci, Alessandro (6) Wert ausschließen Carvalho, Paula (6) Wert ausschließen Cary, Susanna (6) Wert ausschließen Casu, Gavino (6) Wert ausschließen Cavallini, Claudio (6) Wert ausschließen Cayla, Guillaume (6) Wert ausschließen Cha, Kwang Soo (6) Wert ausschließen Chae, Jei Keon (6) Wert ausschließen Challappa, Krishnan (6) Wert ausschließen Chandrashekar, Harinath (6) Wert ausschließen Chartier, Ludovic (6) Wert ausschließen Chatterjee, Kausik (6) Wert ausschließen Cheema, Aamir (6) Wert ausschließen Chen, Shih-Ann (6) Wert ausschließen Chiang, Fu-Tien (6) Wert ausschließen Chiarella, Francesco (6) Wert ausschließen Chih-Chan, Lin (6) Wert ausschließen Cho, Yong Keun (6) Wert ausschließen Choi, Dong Ju (6) Wert ausschließen Chouinard, Guy (6) Wert ausschließen Chreih, Rami Mihail (6) Wert ausschließen Chrysos, Dimitrios (6) Wert ausschließen Chumakova, Galina (6) Wert ausschließen Clay, Anthony (6) Wert ausschließen Clifford, Piers (6) Wert ausschließen Cohen, Andrew (6) Wert ausschließen Cohen, Serge (6) Wert ausschließen Colivicchi, Furio (6) Wert ausschließen Compton, Steve (6) Wert ausschließen Conti, Alberto (6) Wert ausschließen Coodley, Gregg (6) Wert ausschließen Cooper, Martin (6) Wert ausschließen Show more show less
> Collection Skip to next facet Elsevier BV (CrossRef) (14) Wert ausschließen Lizenzfreie Online-Ressourcen (10) Wert ausschließen Verbunddaten SWB (10) Wert ausschließen Springer Science and Business Media LLC (CrossRef) (3) Wert ausschließen Show more show less