| 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 | 54 | 2022 |
| 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 | 40* | 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 | 33 | 2017 |
| Real quantum amplitude estimation A Manzano, D Musso, Á Leitao EPJ Quantum Technology 10 (1), 1-24, 2023 | 28 | 2023 |
| 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 | 24 | 2013 |
| 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 | 21* | 2021 |
| The CTMC-Heston model: calibration and exotic option pricing with SWIFT A Leitao, JL Kirkby, L Ortiz Gracia Journal Of Computational Finance, 2021, vol. 24, num. 4, p. 71-114, 2021 | 19 | 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 | 19 | 2019 |
| SWIFT valuation of discretely monitored arithmetic Asian options Á Leitao, L Ortiz-Gracia, EI Wagner Journal of computational science 28, 120-139, 2018 | 19 | 2018 |
| On the data-driven COS method Á Leitao, CW Oosterlee, L Ortiz-Gracia, SM Bohte Applied Mathematics and Computation 317, 68-84, 2018 | 19* | 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 | 17 | 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 | 16 | 2021 |
| 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 | 14 | 2023 |
| The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread Á Leitao, C Vázquez Communications in Nonlinear Science & Numerical Simulation 115, 2022 | 13 | 2022 |
| Spline local basis methods for nonparametric density estimation JL Kirkby, Á Leitao, D Nguyen Statistic Surveys 17, 75-118, 2023 | 12 | 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 | 11 | 2019 |
| A Modular Framework for Generic Quantum Algorithms A Manzano, D Musso, Á Leitao, A Gómez, C Vázquez, G Ordóñez, ... Mathematics 10 (5), 785, 2022 | 7* | 2022 |
| Alternative pipeline for option pricing using quantum computers A Manzano, G Ferro, Á Leitao, C Vázquez, A Gómez EPJ Quantum Technology 12 (1), 28, 2025 | 6* | 2025 |
| 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 101 (8), 821-841, 2024 | 6 | 2024 |
| Model-free computation of risk contributions in credit portfolios Á Leitao, L Ortiz-Gracia Applied Mathematics and Computation 382, 125351, 2020 | 4 | 2020 |
Cornelis W. OosterleeUtrecht University, Mathematical InstituteVerified email at uu.nl
