Contacting Members

Professor Mike Giles

Professor Mike Giles

Professor Mike Giles

  • Professor of Scientific Computing
  • Oxford-Man Institute of Quantitative Finance
  • Associate Director, Oxford e-Research Centre
  • Professorial Fellow, St Hugh's College

Personal Web Page

eMail: Mike [dot] Giles [-at-] maths [dot] ox [dot] ac [dot] uk
Contact Form

Phone Number(s):

Reception/Secretary: +44 1865 616600
Direct: +44 1865 616618

Departmental Address:

Mathematical Institute
24-29 St Giles'
Oxford
OX1 3LB
England

Research Interests: 

I am Professor of Scientific Computing, a member of the Oxford-Man Institute of Quantitative Finance, and Associate Director of the Oxford e-Research Centre. I used to work at MIT and in the Oxford University Computing Laboratory on computational fluid dynamics applied to the analysis and design of gas turbines, but more recently I have moved into computational finance. 

My focus is on improving the accuracy, efficiency and analysis of Monte Carlo and finite difference methods. Recent research highlights include the use of adjoint techniques to compute sensitivities, and a new multilevel Monte Carlo method.

I am also interested in various aspects of scientific computing, including high performance parallel computing, and in the last couple of years I have been working on the exploitation of graphics cards for scientific applications in both finance and computational engineering.

For more details please see my webpage.

Major/Recent Publications: 

M.B. Giles and P. Glasserman. `Smoking adjoints: fast Monte Carlo Greeks''. Risk, 2006.

M.B. Giles. `Improved multilevel Monte Carlo convergence using the Milstein scheme', pp.343-358 in Monte Carlo and Quasi-Monte Carlo Methods 2006, Springer, 2007.

M.B. Giles.  'Multilevel Monte Carlo path simulation'.  Operations Research 56(3):607-617, 2008.

M.B. Giles, D.J. Higham and X. Mao. 'Analysing multilevel Monte Carlo for options with non-globally Lipschitz payoff'. Finance and Stochastics, 13(3):403-413, 2009.

M.B. Giles. 'Vibrato Monte Carlo sensitivities', in Monte Carlo and Quasi-Monte Carlo Methods 2008, Springer, 2009.

M.B. Giles and S. Ulbrich. 'Convergence of linearized and adjoint approximations for discontinuous solutions of conservation laws.  Part 1: linearized approximations and linearized output functionals. Part 2: adjoint approximations and extensions. SIAM Journal of Numerical Analysis, 48(3):882-921, 2010
Last updated by on Sun, 20/03/2011 - 10:39am.
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