207 citations · 416 across the 27 of their papers we have counts for
5 papers · 1 filter
A nested MLMC framework for efficient simulations on FPGAs
Irina-Beatrice Haas, Michael B. Giles
Multilevel Monte Carlo (MLMC) reduces the total computational cost of financial option pricing by combining SDE approximations with multiple resolutions. This paper explores a furt…
Multilevel Monte Carlo For Exponential Lévy Models
Mike Giles, Yuan Xia
We apply multilevel Monte Carlo for option pricing problems using exponential Lévy models with a uniform timestep discretisation to monitor the running maximum required for lookbac…
Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
Michael B. Giles, Kristian Debrabant, Andreas Rößler
The multilevel Monte Carlo path simulation method introduced by Giles ({\it Operations Research}, 56(3):607-617, 2008) exploits strong convergence properties to improve the computa…
Multilevel Monte Carlo methods for applications in finance
Mike Giles, Lukasz Szpruch
Since Giles introduced the multilevel Monte Carlo path simulation method [18], there has been rapid development of the technique for a variety of applications in computational fina…
The computation of Greeks with multilevel Monte Carlo
Sylvestre Burgos, M. B. Giles
We study the use of the multilevel Monte Carlo technique in the context of the calculation of Greeks. The pathwise sensitivity analysis differentiates the path evolution and reduce…