Prof. Mike Giles

Professor of Scientific Computing
Professorial Fellow in Mathematical Finance 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
• Slides for research presentations
• MLMC research worldwide

HPC research on NVIDIA GPUs

• OP2: open source library for unstructured grid applications on GPUs
• Slides from various presentations
• Random number generation and Monte Carlo methods
• Flamingo auto-tuning software

• Emerald: our new GPU supercomputer
• CUDA programming course
• GPUs in HPC and computational finance

• Many-core research in OeRC
• CUDA Centre of Excellence
• NVIDIA hardware recommendations
• Oxford researchers working with GPUs
• Computing links

Past Research

• Computing Greeks using Monte Carlo methods
• Early work on GPUs
• Adjoint equations
• HYDRA
• Use of Automatic Differentiation in CFD
• Aeroacoustics
• Error analysis
• Parallel computing

Publications

• Refereed publications
• Old conference proceedings and reports

• Google Scholar profile
• ResearcherID profile

Teaching in 2012/13

• Introduction to MATLAB
• Monte Carlo Methods (Michaelmas Term)
• 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
• CUDA Programming on NVIDIA GPUs

Other information

• MSc in Mathematical and Computational Finance
• Part-time MSc/Diploma in Mathematical Finance

• MATLAB availability in the University
• Travel information for visitors

• Curriculum Vitae

EMail