Quants of the year - Paul Glasserman and Michael Giles


During a Risk training course in February 2005, one of the attendees approached Columbia Business School professor Paul Glasserman following the session he had just led on estimation of option sensitivities, or Greeks, by Monte Carlo methods. There's nothing too unusual about that, except for two things. First of all, the attendee in question was himself a professor. Secondly, when he approached Glasserman, Michael Giles, professor of scientific computing at the Oxford University Computer

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