About me
Currently, I am "Ramon y Cajal" researcher in the the Department of Mathematics at University of A Coruña (UDC).
Previously, I worked in the Open University of Catalonia (UOC), in the CITIC research centre,
in the Centre de Recerca Matemàtica (CRM), in the Delft University of Technology (TU Delft, The Netherlands)
and in the M2NICA research group, also at UDC. Most of the mentioned positions have been funded through different grants and industrial projects,
obtained after competitive calls, like a Marie Curie fellowship, BGSMath-María de Maeztu JUNIOR, Juan de la Cierva-Formación, or Science Hub of BBVA.
My main research topic is focused on the development of efficient numerical techniques in financial mathematics,
a discipline that lies at the intersection of numerical analysis and stochastic calculus.
My expertise includes Stochastic Differential Equations, Monte Carlo integration, Fourier inversion techniques,
Stochastic processes, Machine learning, PDEs, and Quantum computing, applied to problems appearing in the financial sector.
Particularly, I am interested in hybrid solutions for advanced and challenging quantitative problems,
combining several methodologies (including computation) aiming a satisfactory balance between precision, robustness, and performance.
The smart and precise combination of these three components form my definition of "efficiency" in a solution and
drives all my scientific contributions and interests. The progresses in my main research lines have a direct impact on the society
since they contribute to the stability of the financial markets and the mitigation and prevention of future risks and crises.
In addition, the advances achieved during my academic career have been successfully applied into other scientific fields,
open promising research directions to be explored.
Contact
CITIC research center
University of A Coruña
Campus de Elviña s/n
15071 A Coruña, Spain
e-mail: alvaro.leitao AT udc.es
Research profiles
