3 citations · 3 across the 2 of their papers we have counts for
2 papers
math.NA2026
A multilevel sketch-and-solve method for overdetermined least squares problems
Irina-Beatrice Haas, Michael B. Giles, Yuji Nakatsukasa
Sketch-and-solve (SAS) is a very successful method to efficiently estimate the solution of heavily overdetermined large linear least squares problems. It uses random sketching to r…
q-fin.CP2010★ 3 cited
Fast Correlation Greeks by Adjoint Algorithmic Differentiation
Luca Capriotti, Mike Giles
We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key po…