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 ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) 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 ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) 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 ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) 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 ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) 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 ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) 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 ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) 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 ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) 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 ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) 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 ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) 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 ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) 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 (2023) 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 (2021) 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 (2018) 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 (2014) 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 (2019) 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 (2018) 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 (2017) 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 (2016) 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 (2016) 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 (2017)
Leitao Rodriguez, Alvaro [Author] ; Ortiz-Gracia, Luis [Other] Model-Free Computation of Risk Contributions in Credit Portfolios Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) 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 ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) 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 ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) 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 ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) 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 ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) 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 ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) 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 ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) 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 ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) 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 ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) 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 ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) 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 (2023)
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 (2021)
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 (2018)
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 (2014)
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 (2019)
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 (2018)
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 (2017)
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 (2016)
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 (2016)
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 (2017)
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