Prof. Michael Giles
Education
- B.A.(Mathematics), Cambridge University, June 1981.
- S.M.(Aeronautics), Massachusetts Institute of Technology,
February 1983.
Thesis title: Asymptotic Analysis of Numerical Wave Propagation in
Finite Difference Equations.
- Ph.D.(Aeronautics), Massachusetts Institute of Technology,
June 1985.
Thesis title: Newton Solution of Steady Two-Dimensional
Transonic Flow.
Career
- Undergraduate Engineering Apprentice,
Rolls-Royce Ltd., Derby
January 1978 - June 1981
- Assistant Professor,
Dept. of Aeronautics and Astronautics,
Massachusetts Institute of Technology,
July 1985 - June 1990
- Associate Professor and Director of Computational Fluid
Dynamics Laboratory,
Dept. of Aeronautics and Astronautics,
Massachusetts Institute of Technology,
July 1990 - June 1992
- Rolls-Royce Reader in Computational Fluid Dynamics
Oxford University Computing Laboratory,
July 1992 - June 1997
- Professor of Computational Fluid Dynamics,
Oxford University Computing Laboratory,
July 1997 - June 2004
- Professor of Scientific Computing,
Oxford University Computing Laboratory,
July 2004 - December 2007
- Professor of Scientific Computing,
Oxford University Mathematical Institute,
January 2008 - present
Recent Administrative Duties
-
Director of the Rolls-Royce University Technology Centre for
Computational Fluid Dynamics, 1992 - 2007.
-
Chairman of the Oxford Supercomputing Centre 1997-8 and 2003-6.
-
Co-Director of the Oxford Centre for Computational Finance, 2001 - 2007.
-
Acting head of the Mathematical and Computational Finance Group, 2010 - 2012.
-
Founding member of the Oxford-Man Institute of Quantitative Finance, 2007 - present.
-
Associate Director of Oxford e-Research Centre, 2009 - present.
Recent Teaching
2008/2009
- Numerical Methods in Finance -- MSc in Mathematical Finance
- Monte Carlo Methods -- MSc in Mathematical and Computational Finance
- Numerically Intensive Computing for Finance -- MSc in Mathematical Finance
2009/2010
- Numerical Methods in Finance -- MSc in Mathematical Finance
- Monte Carlo Methods -- MSc in Mathematical and Computational Finance
- CUDA Programming on NVIDIA GPUs -- open to all
2010/2011
- Numerical Methods in Finance -- MSc in Mathematical Finance
- Finite Difference Methods -- MSc in Mathematical and Computational Finance
- CUDA Programming on NVIDIA GPUs -- open to all
2011/2012 (one term on sabbatical)
- Numerical Methods in Finance -- MSc in Mathematical Finance
- Finite Difference Methods -- MSc in Mathematical and Computational Finance
- CUDA Programming on NVIDIA GPUs -- open to all
2012/2013 (two terms on sabbatical)
- Numerical Methods in Finance -- MSc in Mathematical Finance
- Monte Carlo Methods -- MSc in Mathematical and Computational Finance
- CUDA Programming on NVIDIA GPUs -- open to all
2013/2014
- Numerical Methods in Finance -- MSc in Mathematical Finance
- Monte Carlo Methods -- MSc in Mathematical and Computational Finance
- Numerical Analysis for SDEs -- MSc in Mathematical Modelling and Scientific Computing
- CUDA Programming on NVIDIA GPUs -- open to all
2014/2015
- Numerical Methods in Finance -- MSc in Mathematical Finance
- Monte Carlo Methods -- MSc in Mathematical and Computational Finance
- Monte Carlo Methods for Uncertainty Quantification -- InFoMM CDT
- Numerical Analysis for SDEs -- MSc in Mathematical Modelling
and Scientific Computing
- Monte Carlo Methods -- mini-course for visiting students from NUS
- CUDA Programming on NVIDIA GPUs -- open to all
2015/2016
- Numerical Methods in Finance -- MSc in Mathematical Finance
- Monte Carlo Methods -- MSc in Mathematical and Computational Finance
- Monte Carlo Methods for Uncertainty Quantification -- InFoMM CDT
- Numerical Analysis for SDEs -- MSc in Mathematical Modelling
and Scientific Computing
- Monte Carlo Methods -- mini-course for visiting students from NUS
- CUDA Programming on NVIDIA GPUs -- open to all
PhD theses supervised
- Dept. of Aeronautics and Astronautics,
Massachusetts Institute of Technology
S. Allmaras, "Coupled Euler/Navier-Stokes algorithm for 2D
unsteady transonic shock/boundary-layer
interaction", 1989.
M. Turner, "Design and analysis of three-dimensional internal
flowfields using a two stream function formulation",
1990.
D. Lindquist, "Computation of unsteady transonic flowfields using shock
capturing and the linear perturbation Euler equations",
1991.
A. Saxer, "A numerical analysis of 3D inviscid stator/rotor interactions
using non-reflecting boundary conditions", 1991.
G. Fritsch, "An analytical and numerical study of the second-order
effects of unsteadiness on the performance of
turbomachines", 1991.
K. Isomura, "A numerical investigation of a flutter in a transonic fan",
supervised jointly with Prof A. Epstein, 1996.
- Oxford University Computing Laboratory
D. Burgess, "Parallel computing for unstructured mesh algorithms",
1995.
G.N. Shrinivas, "Three-dimensional design methods for
turbomachinery applications", 1996.
A. Johnson, "Parallelising implicit methods on unstructured grids",
1996.
N. Pierce, "Preconditioned multigrid methods for compressible flow
calculations on stretched meshes", 1997.
P. Moinier, "Algorithm developments for an unstructured viscous
flow solver", 1999.
M.C. Duta, "The use of the adjoint method for the minimisation
of forced vibration in turbomachinery", 2002.
A.L. Laird, "A hybrid spectral discretisation and iterative
solution methods for acoustic models in potential
flow", 2004.
M.S. Campobasso, "Effects of flow instabilities on the linear
harmonic analysis of unsteady flow in
turbomachinery", 2004.
- Oxford University Mathematical Institute
K.E. Schmitz Abe, "Pricing exotic options using improved
strong convergence", 2007.
M. Tao. "Vanna-Volga and Karasinski Risk Correction Methods", 2009.
Y. Xia. "Multilevel Monte Carlo for jump processes", 2014.
D. Ghate. "Inexpensive uncertainty analysis for CFD applications", 2014.
S. Burgos. "The computation of Greeks with Multilevel Monte Carlo", 2014.
Journal/book publications
- M.B. Giles and M. Rose.
`A numerical study of the steady scalar convective diffusion
equation for small viscosity'.
Journal of Computational Physics, 56(3):513-529, 1984.
- M.B. Giles and W.T. Thompkins.
`Propagation and stability of wavelike solutions of finite
difference equations with variable coefficients'.
Journal of Computational Physics, 58(3):349-360, 1985.
- M.B. Giles and M. Drela.
`A two-dimensional transonic aerodynamic design method'.
AIAA Journal, 25(9):1199-1206, 1987.
- M. Drela and M.B. Giles.
`Viscous-inviscid analysis of transonic and low Reynolds number
airfoils'.
AIAA Journal, 25(10):1347-1355, 1987.
- A.H. Epstein, J.B. Gertz, P.R. Owen and M.B. Giles.
`Vortex shedding in high-speed compressor blade wakes'.
AIAA Journal of Propulsion and Power, 4(3):236-244, 1988.
- M.B. Giles.
`Calculation of unsteady wake rotor interaction'.
AIAA Journal, 4(4):356-362, 1988.
- G.R. Guenette, A.H. Epstein, M.B. Giles, R. Haimes and
R.J.G. Norton.
`Fully scaled transonic turbine rotor heat transfer measurements'.
Journal of Turbomachinery, 111:1-7, 1989.
- B. Krouthen and M.B. Giles.
`Numerical investigation of hot streaks in turbines'.
AIAA Journal of Propulsion and Power, 6(6):769-776, 1990.
- J.F. Dannenhoffer and M.B. Giles.
`Convergence acceleration through the use of time inclining'.
AIAA Journal, 28(8):1457-1463, 1990.
- M.B. Giles.
`Stator/rotor interaction in a transonic turbine'.
AIAA Journal of Propulsion and Power, 6(5):621-627, 1990.
- M.B. Giles.
`Non-reflecting boundary conditions for Euler equation
calculations'.
AIAA Journal, 28(12):2050-2058, 1990.
- M.B. Giles and R. Haimes.
`Advanced interactive visualization for CFD'.
Computing Systems in Engineering, 1(1):51-62, 1990.
- R.S. Abhari, G.R. Guenette, A.H. Epstein and M.B. Giles.
`Comparison of time-resolved turbine rotor blade heat transfer
measurements and numerical calculations'.
Journal of Turbomachinery, 114:818-826, 1992.
- M.B. Giles and R. Haimes.
`Validation of a numerical method for unsteady flow calculations'.
Journal of Turbomachinery, 115:110-117, 1993.
- A. Saxer and M.B. Giles.
`Quasi-3D nonreflecting boundary conditions for Euler equation
calculations'.
AIAA Journal of Propulsion and Power, 9(2):263-271, 1993.
- A.H. Epstein, M.B. Giles, T. Shang and A.K. Sehra.
`Blade row interaction effects on compressor measurements'.
AIAA Journal of Propulsion and Power, 9(4):569-578, 1993.
- A.P. Saxer and M.B. Giles.
`Predictions of three-dimensional steady and unsteady inviscid
transonic stator/rotor interaction with inlet radial temperature
nonuniformity'.
Journal of Turbomachinery, 116:347-357, 1994.
- D.R. Lindquist and M.B. Giles.
`Validity of linearized unsteady Euler equations with shock
capturing'.
AIAA Journal, 32(1):46, 1994.
- G. Fritsch and M.B. Giles.
`An asymptotic analysis of mixing loss'.
Journal of Turbomachinery, 117:367-374, 1995.
- K.F.C. Yiu and M.B. Giles.
`Simultaneous viscous-inviscid coupling via transpiration'.
Journal of Computational Physics, 120:157-170, 1995.
- P.I. Crumpton and M.B. Giles.
`Multigrid aircraft computations using the OPlus parallel library'.
in Parallel Computational Fluid Dynamics: Implementations and
Results Using Parallel Computers, 339-346.
A. Ecer, J. Periaux, N. Satofuka, and S. Taylor, editors,
North-Holland, 1996.
- M.B. Giles.
`Analysis of the accuracy of shock-capturing in the steady quasi-1D
Euler equations'.
Computational Fluid Dynamics Journal, 5(2):247-258, 1996.
- R.S. Abhari and M.B. Giles.
`A Navier Stokes analysis of airfoils in oscillating transonic
cascades for the prediction of aerodynamic damping'.
Journal of Turbomachinery, 119:77-84, 1997.
- D.A. Burgess and M.B. Giles
`Renumbering unstructured grids to improve the performance of
codes on hierarchical memory machines',
Advances in Engineering Software, 28(3):189-201, 1997.
- M.B. Giles.
`Stability analysis of a Galerkin/Runge-Kutta Navier-Stokes
discretisation on unstructured tetrahedral grids'.
Journal of Computational Physics, 132:201-214, 1997.
- M.B. Giles.
`Stability and accuracy of numerical boundary conditions in
aeroelastic analysis'.
International Journal for Numerical Methods in Fluids,
24:739-757, 1997.
- M.B. Giles.
`Stability analysis of numerical interface boundary conditions in
fluid-structure thermal analysis'.
International Journal for Numerical Methods in Fluids,
25:421-436, 1997.
- M.B. Giles.
`Progress in applied numerical analysis for Computational Fluid
Dynamics'.
In Barriers and Challenges in CFD, Kluwer, 1997.
- N.A. Pierce and M.B. Giles.
`Preconditioned multigrid methods for compressible flow calculations
on stretched meshes'.
Journal of Computational Physics, 136:425-445, 1997.
- M.B. Giles.
`On the stability and convergence of discretisations of initial
value p.d.e.s'.
IMA Journal of Numerical Analysis, 17:563-576, 1997.
- P.I. Crumpton and M.B. Giles.
`Implicit time-accurate solutions on unstructured dynamic grids'.
International Journal for Numerical Methods in Fluids,
25:1285-1300, 1997.
- P.I. Crumpton, P. Moinier and M.B. Giles.
`An unstructured algorithm for high Reynolds number flows on highly
stretched grids',
in Numerical Methods in Laminar and Turbulent Flow , 561-572.
C. Taylor and J.T. Cross editors, Pineridge Press, 1997.
- M.B. Giles.
`On adjoint equations for error analysis and optimal grid adaptation',
in Frontiers of Computational Fluid Dynamics 1998, 155-170.
D.A. Caughey and M.M. Hafez editors, World Scientific, 1998.
- K. Isomura and M.B. Giles.
`A numerical study of flutter in a transonic fan'.
Journal of Turbomachinery, 120(3):500-507, 1998.
- M.B. Giles and R.M. Cummings.
`Wake integration for three-dimensional flowfield computations:
theoretical development', Journal of Aircraft ,
36(2):357-365, 1999.
- D.L. Hunt, R.M. Cummings and M.B. Giles
`Wake integration for three-dimensional flowfield computations:
applications', Journal of Aircraft ,
36(2):366-373, 1999.
- N.A. Pierce and M.B. Giles.
`Adjoint recovery of superconvergent functionals from PDE
approximations'.
SIAM Review, 42(2):247-264, 2000.
- D.L. Darmofal, P. Moinier and M.B. Giles.
`Eigenmode analysis of boundary conditions for the one-dimensional
preconditioned Euler equations'.
Journal of Computational Physics, 160(1):369-384, 2000.
- M.B. Giles and N.A. Pierce.
`An introduction to the adjoint approach to design'.
Flow, Turbulence and Combustion, 65(3-4):393-415, 2000.
- M.B. Giles and N.A. Pierce.
`Analytic adjoint solutions for the quasi-one-dimensional Euler equations'.
Journal of Fluid Mechanics, 426:327-345, 2001.
- M.S. Campobasso and M.B. Giles.
`Analysis of the effect of mistuning on turbomachinery aeroelasticity' in
Unsteady Aerodynamics, Aeroacoustics and Aeroelasticity
in Turbomachines.
P. Ferrand and S. Aubert editors, Presses Universitaire de Grenoble, 2001.
- M.B. Giles and N.A. Pierce.
`Superconvergent lift estimates through adjoint error analysis',
in Innovative Methods for Numerical Solutions of Partial
Differential Equations.
M.M. Hafez and J.J. Chattot editors, World Scientific, 2001.
- M.B. Giles
`On the iterative solution of adjoint equations',
in Automatic Differentiation: From Simulation to Optimization,
pages 145-152.
G. Corliss, C. Faure, A. Griewank, L. Hascoet, U. Naumann, editors,
Springer-Verlag, 2001.
- M.B. Giles.
`Defect and adjoint error correction',
in Computational Fluid Dynamics 2000.
N. Satofuka, editor, Springer-Verlag, 2001.
- M.B. Giles and N.A. Pierce.
`Adjoint error correction for integral outputs',
in Error Estimation and Adaptive Discretization Methods in
Computational Fluid Dynamics, pages 47-96,
editors T. Barth and H. Deconinck, volume 25 in
Lecture Notes in Computational Science and Engineering.
Springer-Verlag, 2002.
- P. Moinier and M.B. Giles.
`Stability analysis of preconditioned approximations of the Euler
equations on unstructured meshes'.
Journal of Computational Physics, 178:498-519, 2002.
- M.B. Giles and E. Suli.
`Adjoint methods for PDEs: a posteriori error
analysis and postprocessing by duality'.
Acta Numerica 2002, pages 145-236,
Cambridge University Press, 2002.
- P. Moinier, J.-D. Muller and M.B. Giles.
`Edge-based multigrid and preconditioning for hybrid grids'.
AIAA Journal, 40(10):1954-1960, 2002.
- M.C. Duta, M.B. Giles and M.S. Campobasso.
`The harmonic adjoint approach to unsteady turbomachinery design'.
International Journal for Numerical Methods in Fluids,
40(3-4):323-332, 2002.
- M.B. Giles, M.C. Duta, J.-D. Muller and N.A. Pierce.
`Algorithm developments for discrete adjoint methods'.
AIAA Journal, 41(2), 2003.
- M.B. Giles.
`Discrete adjoint approximations with shocks'.
Hyperbolic Problems: Theory, Numerics, Applications,
editors T. Hou and E. Tadmor, Springer-Verlag 2003.
- M.S. Campobasso and M.B. Giles.
`Stabilization of a linearized Navier-Stokes solver for turbomachinery
aeroelasticity' in Computational Fluid Dynamics 2002.
Springer-Verlag, 2003.
- M.S. Campobasso and M.B. Giles.
`Effect of flow instabilities on the linear analysis of
turbomachinery aeroelasticity',
AIAA Journal of Propulsion and Power, 19(2), 2003.
- M.S. Campobasso, M.C. Duta and M.B. Giles.
`Adjoint calculation of sensitivities of turbomachinery objective
functions', AIAA Journal of Propulsion and Power, 19(4), 2003.
- M.B. Giles, N.A. Pierce and E. Suli .
`Progress in adjoint error correction for integral functionals',
Computing and Visualisation in Science, 6(2-3), 2004.
- N.A. Pierce and M.B. Giles.
`Adjoint and Defect Error Bounding and Correction for Functional Estimates'
Journal of Computational Physics, 200:769-794, 2004.
- M.S. Campobasso and M.B. Giles.
`Stabilization of a linear flow solver for turbomachinery aeroelasticity
by means of the recursive projection method',
AIAA Journal, 42(9) 1765-1774, 2004.
- M.C. Duta, A. Laird and M.B. Giles.
`Aeroacoustic analysis using a hybrid finite element method',
Journal of Power and Energy, Proceedings of the IMechE Part A,
219:413-420, 2005.
- P. Moinier and M.B. Giles.
`Eigenmode analysis for turbomachinery applications',
AIAA Journal of Propulsion and Power, 21(6): 973-978, 2005.
- M.C. Duta, M.S. Campobasso, M.B. Giles and L.B. Lapworth.
`Adjoint harmonic sensitivities for forced response minimisation',
ASME Journal of Turbomachinery, 128:183-189, 2006.
- M.B. Giles and P. Glasserman.
`Smoking adjoints: fast Monte Carlo Greeks',
RISK, January 2006.
- M.C. Duta, M.B. Giles and A. Laird.
`A hybrid FE/spectral analysis of turbofan aeroacoustics',
in Computational Fluid Dynamics 2004.
Springer-Verlag, 2006.
- M.S. Campobasso and M.B. Giles.
`Stabilizing linear harmonic flow solvers for turbomachinery
aeroelasticity with complex iterative algorithms',
AIAA Journal, 44(5):1048-1059, 2006.
- M.B. Giles and R. Carter.
`Convergence analysis of Crank-Nicolson and Rannacher time-marching',
Journal of Computational Finance, 9(4):89-112, 2006.
- M.C. Duta and M.B. Giles.
`A three-dimensional hybrid finite element/spectral analysis of noise
radiation from turbofan inlets',
Journal of Sound and Vibration, 296:623-642, 2006.
- A.L. Laird and M.B. Giles.
`Preconditioning harmonic unsteady potential flow calculations',
AIAA Journal, 44(11):2654-2662, 2006.
- R. Carter and M.B. Giles.
`Sharp error estimates for discretisations of the 1D
convection/diffusion equation with Dirac initial data',
IMA Journal of Numerical Analysis, 27(2):406-425, 2007.
- R. Carter and M.B. Giles.
'Sharp error estimates for discretisations of the 1D
convection/diffusion equation with Dirac initial data',
IMA Journal of Numerical Analysis,
27(2):406-425, 2007.
- P. Moinier, M.B. Giles and J. Coupland.
'Three-dimensional nonreflecting boundary conditions for swirling
flow in turbomachinery'.
AIAA Journal of Propulsion and Power, 23(5):981-986, 2007.
- M.B. Giles.
`Improved multilevel Monte Carlo convergence using the Milstein scheme'.
pp.343-358 in Monte Carlo and Quasi-Monte Carlo Methods 2006,
Springer, 2008.
- M.B. Giles.
'Multilevel Monte Carlo path simulation'.
Operations Research, 56(3):607-617, 2008.
- M.B. Giles, D. Ghate and M.C. Duta.
'Using automatic differentiation for adjoint CFD code development'.
Computational Fluid Dynamics Journal, 16(4):434-443, 2008.
- M.B. Giles.
'Collected matrix derivative results for forward and
reverse mode algorithmic differentiation'. pp.35-44 in
Advances in Automatic Differentiation, Springer, 2008.
- M.B. Giles, F.Y. Kuo, I.H. Sloan and B.J. Waterhouse.
'Quasi-Monte Carlo for finance applications'.
ANZIAM Journal, 50:308-323, 2008.
- M.B. Giles, D.J. Higham and X. Mao.
'Analysing multilevel Monte Carlo for options with non-globally
Lipschitz payoff'.
Finance and Stochastics, 13(3):403-413, 2009.
- M.B. Giles and B.J. Waterhouse.
'Multilevel quasi-Monte Carlo path simulation'. pp.165-181 in
Advanced Financial Modelling, in
Radon Series on Computational and Applied Mathematics,
de Gruyter, 2009.
- M.B. Giles.
'Vibrato Monte Carlo sensitivities'. pp.369-392 in
Monte Carlo and Quasi-Monte Carlo Methods 2008, Springer, 2009.
- M.B. Giles.
'Crank-Nicolson time-marching' in Encyclopedia of Quantitative Finance,
John Wiley & Sons, 2010.
- M.B. Giles and S. Ulbrich.
'Convergence of linearized and adjoint approximations for
discontinuous solutions of conservation laws. Part 1: linearized
approximations and linearized output functionals.
SIAM Journal of Numerical Analysis 48(3):882-904, 2010.
- M.B. Giles and S. Ulbrich.
'Convergence of linearized and adjoint approximations for
discontinuous solutions of conservation laws. Part 2: adjoint
approximations and extensions.
SIAM Journal of Numerical Analysis 48(3):905-921, 2010.
- L. Capriotti and M.B. Giles.
`Fast correlation Greeks by adjoint algorithmic differentiation',
RISK, 23(4):77-83, 2010.
- A. Lee, C. Yau, M.B. Giles, A. Doucet, C.C. Holmes.
'On the utility of graphics cards to perform massively parallel
simulation of advanced Monte Carlo methods'.
Journal of Computational and Graphical Statistics,
19(4): 769-789, 2010.
- T. Bradley, J. du Toit, M.B. Giles, R. Tong, P. Woodhams.
'Parallelisation techniques for random number generators'.
pp.231-246 in
GPU Computing Gems, Emerald Edition, Morgan Kaufmann, 2011.
- M.B. Giles.
'Approximating the erfinv function'. pp.109-116 in
GPU Computing Gems, Jade Edition, Morgan Kaufmann, 2011.
- G. Klingbeil, R. Erban, M. Giles, P.K. Maini.
'STOCHSIMGPU: Parallel stochastic simulation for the
Systems Biology Toolbox 2 for MATLAB'.
Bioinformatics, 27(8):1170-71, 2011.
- M.B. Giles, G.R. Mudalige, Z. Sharif, G. Markall, P.H.J. Kelly.
'Performance analysis of the OP2 framework on many-core architectures'
ACM SIGMETRICS Performance Evaluation Review 38(4):9-15, 2011.
- K.A. Cliffe, M.B. Giles, R. Scheichl, A.L. Teckentrup,
'Multilevel Monte Carlo methods and applications to
elliptic PDEs with random coefficients',
Computing and Visualization in Science, 14(1):3-15, 2011.
- C. Bertolli, A. Betts, G.R. Mudalige, M.B. Giles, P.H.J. Kelly.
`Design and performance of the OP2 library for unstructured mesh
applications',
Euro-Par 2011 Parallel Processing Workshops,
Lecture Notes in Computer Science, Springer, 2012.
- G.R. Mudalige, M.B. Giles, C. Bertolli, P.H.J. Kelly.
'Predictive modeling and analysis of OP2 on distributed memory GPU clusters'.
ACM SIGMETRICS Performance Evaluation Review,
40(2):61-67, 2012
- M.B. Giles, G.R. Mudalige, Z. Sharif, G. Markall, P.H.J. Kelly,
'Performance analysis and optimisation of the OP2 framework on
many-core architectures', Computer Journal, 55(2):168-180, 2012.
- G. Klingbeil, R. Erban, M. Giles, P.K. Maini.
'Fat vs. thin threading approach on GPUs: application
to stochastic simulation of chemical reactions'.
IEEE Transactions on Parallel and Distributed Systems,
23(2):280-287, 2012.
- Y. Xia, M.B. Giles.
`Multilevel path simulation for jump-diffusion SDEs', pp.695-708 in
Monte Carlo and Quasi-Monte Carlo Methods 2010, Springer, 2012.
- S. Burgos, M.B. Giles.
`Computing Greeks using multilevel path simulation', pp.281-296 in
Monte Carlo and Quasi-Monte Carlo Methods 2010, Springer, 2012.
- G.A. Mudalige, M.B. Giles, I. Reguly, C. Bertolli, P.H.J. Kelly.
`OP2: An active library framework for solving unstructured mesh-based
applications on multi-core and many-core architectures', in
Innovative Parallel Computing (InPar), 2012, IEEE, 2012.
- I. Reguly, M.B. Giles.
`Efficient sparse matrix-vector multiplication on cache-based GPUs', in
Innovative Parallel Computing (InPar), 2012, IEEE, 2012.
- M.B. Giles, C. Reisinger.
'Stochastic finite differences and multilevel Monte Carlo for
a class of SPDEs in finance',
SIAM Journal of Financial Mathematics, 3(1):572-592, 2012.
- L. Capriotti and M.B. Giles.
`Adjoint Greeks made easy',
RISK, 23(9):96-102, 2012.
- W. Armour, A. Karastergiou, M. Giles, C. Williams, A. Magro, K. Zagkouris,
S. Roberts, S. Salvini, F. Dulwich, B. Mort.
'A GPU-based survey for millisecond radio transients Using ARTEMIS',
Astronomical Data Analysis Software and Systems XXI, 461:33-36, 2012.
- M.B. Giles, G.R. Mudalige, C. Bertolli, P.H.J. Kelly, E. Laszlo, I. Reguly.
'An analytical study of loop tiling for a large-scale unstructured mesh application',
High Performance Computing, Networking Storage and Analysis, SC 2012, pp. 477-482, 2012.
- G.R. Mudalige, M.B. Giles, B. Spencer, C. Bertolli, I. Reguly.
'Designing OP2 for GPU architectures',
Journal of Parallel and Distributed Computing, 73(11):669-692, 2013.
- A.L. Teckentrup, R. Scheichl, M.B. Giles, E. Ullmann.
'Further analysis of multilevel Monte Carlo methods for
elliptic PDEs with random coefficients',
Numerische Mathematik, 125(3):569-600, 2013.
- C. Bertolli, A. Betts, N. Loriant, G.R. Mudalige, D. Radford,
D.A. Ham, M.B. Giles, and P.H.J. Kelly.
'Compiler optimizations for industrial unstructured mesh CFD applications on GPUs',
Languages and Compilers for Parallel Computing, pp.112-126, Springer, 2013.
- M.B. Giles.
'Multilevel Monte Carlo methods', pp.79-98 in
Monte Carlo and Quasi-Monte Carlo Methods 2012, Springer, 2013.
- L. Szpruch, M.B. Giles.
'Antithetic multilevel Monte Carlo estimation for multidimensional SDEs',
pp.297-312 in
Monte Carlo and Quasi-Monte Carlo Methods 2012, Springer, 2013.
- G.R. Mudalige, M.B. Giles, J. Thiyagalingam, I. Reguly, C. Bertolli,
P.H.J. Kelly and A.E. Trefethen.
'Design and initial performance of a high-level unstructured mesh framework
on heterogeneous parallel systems'.
Parallel Computing, 39(11):669-692, 2013.
- I.Z. Reguly, M.B. Giles. 'Finite element algorithms and data structures on
graphical processing units',
International Journal of Parallel Programming, Dec 2013.
- M.B. Giles, L. Szpruch. 'Antithetic multilevel Monte Carlo estimation for
multi-dimensional SDEs without Lévy area simulation', to appear in
Annals of Applied Probability, 2014.