Prof. Mike Giles

Professor of Scientific Computing in the Mathematical Institute
Professorial Fellow at St Hugh's College

Affiliations

• Mathematical and Computational Finance Group
• Oxford-Man Institute of Quantitative Finance
• Oxford e-Research Centre

Multilevel Monte Carlo research

• My MLMC research
• NEW! MLMC software in MATLAB and C/C++
• Acta Numerica article and MATLAB codes
• MLMC lectures and codes
• Slides for research presentations
• MLMC research worldwide
• MLMC research in Oxford

HPC research on NVIDIA GPUs

• OP2: open source library for unstructured grid applications on GPUs
• Some small CUDA software projects
• Slides from various presentations

• GPUs in HPC and computational finance
• Scientific and many-core computing research in OeRC
• GPU Centre of Excellence
• ASEArch project (Algorithms and Software for Emerging Architectures)

Past Research

• Emerald: our GPU supercomputer
• Random number generation and Monte Carlo methods
• Flamingo auto-tuning software
• Adjoints for computing Greeks
• Early work on GPUs

Publications

• Refereed publications
• Old conference proceedings and reports

• Google Scholar profile
• Scopus Author profile 55936470300
• ORCID Author profile 0000-0002-5445-3721

Teaching in 2015/16

• Monte Carlo Methods (Michaelmas/Hilary Term)
• Introduction to Monte Carlo methods, part of Module 2: Black-Scholes Theory
• Monte Carlo path simulation, part of Module 4: Exotic Options and Advanced Modelling Techniques
• Advanced Monte Carlo Methods, part of Module 6: Advanced Numerical Methods
• Ideas for MSc projects
• Stochastic Numerical Analysis, part of MSc in Mathematical Modelling and Scientific Computing
• Monte Carlo Methods for Uncertainty Quantification, part of Contemporary Numerical Techniques in the InFoMM CDT
• Monte Carlo Methods, part of one-week course for NUS
• CUDA Programming on NVIDIA GPUs

Other information

• Act on Acceptance (deposit paper and data in ORA)
• Open Access and HEFCE's new REF requirement
• Symplectic configuration and problems
• Research Data Management and EPSRC's new publication rules
• Scopus, ORCID, ResearchFish and Google Scholar

• Travel information for visitors

• Curriculum Vitae

EMail