Álvaro Leitao Rodríguez

Postdoctoral fellow at BGSMath - UB
Research area: Numerical Analysis / Probability

PhD in Mathematics obtained at Delft University of Technology (TU Delft) (2017)

Biosketch

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.

Research lines

Computational finance;

Derivatives pricing;

Risk management;

Monte Carlo methods;

Fourier inversion techniques;

GPU computing.

Selected publications