Listar GI-M2NICA - Congresos, conferencias, etc. por autor "Leitao, Álvaro"

Mostrando ítems 1-3 de 3

    • Deep Learning-Based Method for Computing Initial Margin † 

      Pérez Villarino, Joel; Leitao, Álvaro (MDPI, 2021)
      [Abstract] Following the guidelines of the Basel III agreement (2013), large financial institutions are forced to incorporate additional collateral, known as Initial Margin, in their transactions in OTC markets. Currently, ...

    • Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield 

      Liu, Shuaiqiang; Leitao, Álvaro; Borovykh, Anastasia; Oosterlee, Cornelis (MDPI AG, 2020-09-15)
      [Abstract] Computing implied volatility from observed option prices is a frequent and challenging task in finance, even more in the presence of dividends. In this work, we employ a data-driven machine learning approach ...

    • Quantum Arithmetic for Directly Embedded Arrays 

      Manzano, Alberto; Musso, Daniele; Leitao, Álvaro; Gómez, Andrés; Vázquez, Carlos; Ordóñez, Gustavo; Rodríguez Nogueiras, María (MDPI, 2021)
      [Abstract] We describe a general-purpose framework to implement quantum algorithms relying upon an efficient handling of arrays. The cornerstone of the framework is the direct embedding of information into quantum amplitudes, ...