Michael B. Giles
University of Oxford
Mike Giles is Professor of Scientific Computing and Head of the Mathematical Institute at the University of Oxford. In 2007 Risk magazine named him Quant of the Year together with Professor Paul Glasserman of Columbia University for their paper introducing the use of adjoints (also known as AAD) for the efficient computation of Greeks in Monte Carlo simulations. He is also well known for his development of the Multilevel Monte Carlo (MLMC) approach, and has written many papers on the construction and analysis of MLMC algorithms for a variety of applications.
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The authors apply multilevel Monte Carlo simulation to the problems inherent in computing risk measures of a financial portfolio with large numbers of derivatives.