Professor of Scientific Computing
Personal Website:
+44 1865 615233
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Highlighted Publications:
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)
Research Interests:
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.