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Prof. Mike Giles. Professor of Numerical Analysis in the Mathematical Institute Professorial Fellow at Balliol College
Mike Giles is a British mathematician and computer scientist who developed Multilevel Monte Carlo methods. He is a professor at the University of Oxford and a former Kennedy Scholar at MIT.
Michael B. Giles. Professor of Scientific Computing, University of Oxford. Verified email at maths.ox.ac.uk - Homepage. mathematics computational finance engineering numerical analysis...
Algorithm 955: Approximation of the inverse Poisson cumulative distribution function. Giles, M ACM Transactions on Mathematical Software volume 42 issue 1 (01 Mar 2016)
Prof. Mike Giles. Professor of Numerical Analysis in the Mathematical Institute Professorial Fellow at Balliol College. Affiliations. Numerical Analysis Group. Mathematical and Computational Finance Group. Multilevel Monte Carlo research. My MLMC research. MLMC software in MATLAB and C/C++. New! MLQMC software in MATLAB.
Multilevel Monte Carlo methods. My main research on Monte Carlo methods concerns the development of multilevel methods. Inspired by multigrid ideas for the iterative solution of discretised PDEs, this can be viewed as a recursive control variate approach which combines stochastic simulations with differing levels of resolution.
Mike is a Professor of Scientific Computing in the Mathematical Institute, specializing in computational finance and Monte Carlo methods. He worked at MIT and Oxford Computing Laboratory before joining the Mathematical Institute in 2008.
