Status:
Professor of Scientific Computing
Personal website:
+44 1865 273534
ORCID iD:
https://orcid.org/0000-0002-5445-3721
Research groups:
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Highlighted Publications:
Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift
Annals of Applied Probability
issue 2
volume 30
page 526-560
(8 June 2020)
Multilevel nested simulation for efficient risk estimation
SIAM/ASA Journal on Uncertainty Quantification
issue 2
volume 7
page 497-525
(2 May 2019)
Efficient white noise sampling and coupling for multilevel Monte Carlo
with non-nested meshes
SIAM/ASA Journal on Uncertainty Quantification
issue 4
volume 6
page 1630-1655
(20 November 2018)
Multilevel estimation of expected exit times and other functionals of stopped diffusions
SIAM/ASA Journal on Uncertainty Quantification
issue 4
volume 6
page 1454-1474
(18 October 2018)
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
(21 April 2015)
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)
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 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 15 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.