papers
Publications (5)
q-fin.CP2017
Multilevel Monte Carlo For Exponential Lévy Models
Mike Giles, Yuan Xia
q-fin.CP2012
Multilevel Monte Carlo methods for applications in finance
Mike Giles, Lukasz Szpruch
astro-ph.IM2017
Improved Acceleration of the GPU Fourier Domain Acceleration Search Algorithm
Karel Adámek, Sofia Dimoudi, Mike Giles +1
stat.ML2016
Multilevel Monte Carlo for Scalable Bayesian Computations
Mike Giles, Tigran Nagapetyan, Lukasz Szpruch +2
q-fin.CP2010
Fast Correlation Greeks by Adjoint Algorithmic Differentiation
Luca Capriotti, Mike Giles