Álvaro Leitao Rodríguez
Currently, I am a postdoctoral researcher in the School of Economics at the University of Barcelona, funded by the Barcelona Graduate School of Mathematics, BGSMath.
I have obtained my BSc. degree in Computer Science at the University of A Coruña. After that, I got an MSc. in Mathematical Engineering at the University of Vigo with specialization in numerical techniques for finance. Then, I have worked at the Department of Mathematics in University of A Coruña on the high-performance implementation of mathematical models with financial applications.
In 2013, I moved to The Netherlands to start my doctoral education awarded by a Marie Curie fellowship. There, I carried out my doctoral studies at the Delft institute of applied mathematics in the Delft University of Technology (TU Delft) and the Scientific computing group of CWI, the National research center in mathematics and computer science in Amsterdam.
My expertise includes GPU parallel computing and Monte Carlo methods in computational finance. Regarding my programming skills, I regularly use C (and CUDA C), Python and Matlab.
My research topic is focused on the development of efficient numerical solution techniques in computational finance, that lie at the intersection of numerical analysis and stochastic calculus.
- On the data-driven COS method, with C.W. Oosterlee, L. Ortiz-Gracia and S.M. Bohte. Applied Mathematics and Computation 317: 68-84, 2018.
- On an efficient multiple time step Monte Carlo simulation of the SABR model, with L.A. Grzelak and C.W. Oosterlee. Quantitative Finance 17(10): 1549-1565, 2017.
- On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options, with L.A. Grzelak and C.W. Oosterlee. Applied Mathematics and Computation 293: 461-479, 2017.
- GPU acceleration of the Stochastic Grid Bundling Method for early-exercise options, with C.W. Oosterlee. International Journal of Computer Mathematics 92(12): 2433-2454, 2015.
- Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs, with J.L. Fernández, A.M. Ferreiro, J.A. García, J.G. López-Salas and C. Vázquez. Mathematics and Computers in Simulation 94 (2013) 55-75.