Professor of Scientific Computing
+44 1865 615233
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Multilevel Monte Carlo for exponential Levy models
FINANCE AND STOCHASTICS issue 4 volume 21 page 995-1026 (October 2017) Full text available
Algorithm 955: Approximation of the inverse Poisson cumulative distribution function
ACM Transactions on Mathematical Software issue 1 volume 42 (1 March 2016)
Multilevel Monte Carlo Approximation of Distribution Functions and Densities
SIAM-ASA JOURNAL ON UNCERTAINTY QUANTIFICATION issue 1 volume 3 page 267-295 (2015) Full text available
Multilevel Monte Carlo methods
Acta Numerica volume 24 page 259-328 (1 January 2015)
ANTITHETIC MULTILEVEL MONTE CARLO ESTIMATION FOR MULTI-DIMENSIONAL SDES WITHOUT LEVY AREA SIMULATION
ANNALS OF APPLIED PROBABILITY issue 4 volume 24 page 1585-1620 (August 2014) Full text available
Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
Numerische Mathematik issue 3 volume 125 page 569-600 (1 November 2013)
Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance
SIAM JOURNAL ON FINANCIAL MATHEMATICS issue 1 volume 3 page 572-592 (2012) Full text available
Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
Computing and Visualization in Science issue 1 volume 14 page 3-15 (1 January 2011)
On the Utility of Graphics Cards to Perform Massively Parallel Simulation of Advanced Monte Carlo Methods
Journal of Computational and Graphical Statistics issue 19 volume 4 page 769-789 (December 2010)
Multilevel Monte Carlo path simulation
Operations Research issue 3 volume 56 page 607-617 (1 May 2008)
In my early career, I worked 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 and research on Monte Carlo methods for a variety of applications.
My research focus is on improving the accuracy, efficiency and analysis of Monte Carlo methods. A particular highlight has been the development and numerical analysis of multilevel Monte Carlo methods; this has stimulated a lot of research elsewhere.
I am also interested in various aspects of scientific computing, including high performance parallel computing, and for almost 10 years I have been working on the exploitation of GPUs (graphics processors) for a variety of financial, scientific and engineering applications.
For more details please see my website.