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 been the basis of much of my research in the past 10 years and has stimulated a lot of research elsewhere.

I am also interested in various aspects of scientific computing, including high performance parallel computing, and I have worked extensively on the exploitation of many-core GPUs for a variety of applications.

For more details please see my website.