Professor of Scientific Computing
+44 1865 615233
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
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.