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

Current Research

• Multilevel Monte Carlo method
• Computing Greeks using Monte Carlo methods
• Computational finance on GPUs

HPC on NVIDIA GPUs

• GPUs in HPC and computational finance
• Oxford researchers working with GPUs
• Hardware recommendations
• Slides from various presentations
• MRSN network

Past Research

• Adjoint equations
• HYDRA
• Use of Automatic Differentiation in CFD
• Aeroacoustics
• Error analysis
• Earlier design work
• Algorithms for unstructured grids
• Parallel computing
• eScience research and links
• Other topics in numerical analysis
• Drag evaluation from CFD calculations

Publications

• Journal/book publications
• Conference proceedings
• Reports
• Student theses

Teaching in 2009/10

• Monte Carlo Methods in Finance
• Advanced Numerical Techniques in Finance
• Numerically Intensive Computing in Finance
• CUDA Programming on NVIDIA GPUs

Other information

• Web links for parallel computing
• MATLAB availability in the University
• Travel information for visitors

• Curriculum Vitae

EMail