Álvaro Leitao

Álvaro Leitao

Currently, I am a postdoctoral researcher in the M2NICA research group at the University of A Coruña, granted with a Juan de la Cierva-Formación fellowship. 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 mathematical finance. Then, I have worked at the Department of Mathematics in University of A Coruña as a researcher. In 2013, I moved to The Netherlands to start my doctoral education awarded by a Marie Curie fellowship, in the framework of an International Training Network (ITN) called STRIKE - Novel Methods in Computational Finance. I carried out my doctoral studies at the Delft Institute of Applied Mathematics (DIAM) in the Delft University of Technology (TU Delft) and the Scientific Computing (SC) research group of the Centrum Wiskunde & Informatica (CWI) in Amsterdam. Then, I was a BGSMath-María de Maeztu JUNIOR postdoctoral researcher in the Riskcenter-IREA research group at the University of Barcelona, funded by the Barcelona Graduate School of Mathematics after competitive call. My research topic is focused on the development of efficient numerical solution techniques in financial mathematics. My expertise includes stochastic processes and stochastic differential equations (SDEs), Monte Carlo methods and Fourier inversion techniques, applied to problems appearing in the financial sector. Particularly, I am interested in hybrid solutions for advanced quantitative problems, combining several methodologies (including computation) aiming a satisfactory balance between precision, robustness and efficiency.

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