83 citations · 225 across the 11 of their papers we have counts for
15 papers
Efficient Risk Estimation for the Credit Valuation Adjustment
Michael B. Giles, Abdul-Lateef Haji-Ali, Jonathan Spence
The valuation of over-the-counter derivatives is subject to a series of valuation adjustments known as xVA, which pose additional risks for financial institutions. Associated risk…
Importance Sampling for Pathwise Sensitivity of Stochastic Chaotic Systems
Wei Fang, Mike Giles
This paper proposes a new pathwise sensitivity estimator for chaotic SDEs. By introducing a spring term between the original and perturbated SDEs, we derive a new estimator by impo…
Sub-sampling and other considerations for efficient risk estimation in large portfolios
Michael B. Giles, Abdul-Lateef Haji-Ali
Computing risk measures of a financial portfolio comprising thousands of derivatives is a challenging problem because (a) it involves a nested expectation requiring multiple evalua…
Multilevel Monte Carlo Method for Ergodic SDEs without Contractivity
Wei Fang, Michael B. Giles
This paper proposes a new multilevel Monte Carlo (MLMC) method for the ergodic SDEs which do not satisfy the contractivity condition. By introducing the change of measure technique…
Multilevel nested simulation for efficient risk estimation
Michael B. Giles, Abdul-Lateef Haji-Ali
We investigate the problem of computing a nested expectation of the form where is t…
Combining sparse grids, multilevel MC and QMC for elliptic PDEs with random coefficients
Michael B. Giles, Frances Y. Kuo, Ian H. Sloan
Building on previous research which generalized multilevel Monte Carlo methods using either sparse grids or Quasi-Monte Carlo methods, this paper considers the combination of all t…
Beyond 16GB: Out-of-Core Stencil Computations
Istvan Z Reguly, Gihan R Mudalige, Michael B Giles
Stencil computations are a key class of applications, widely used in the scientific computing community, and a class that has particularly benefited from performance improvements o…
Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI
Michael B. Giles, Takashi Goda
In this paper we develop a very efficient approach to the Monte Carlo estimation of the expected value of partial perfect information (EVPPI) that measures the average benefit of k…
Loop Tiling in Large-Scale Stencil Codes at Run-time with OPS
Istvan Z Reguly, Gihan R Mudalige, Mike B Giles
The key common bottleneck in most stencil codes is data movement, and prior research has shown that improving data locality through optimisations that schedule across loops do part…
Multilevel Monte Carlo and Improved Timestepping Methods in Atmospheric Dispersion Modelling
Grigoris Katsiolides, Eike H. Müller, Robert Scheichl +3
A common way to simulate the transport and spread of pollutants in the atmosphere is via stochastic Lagrangian dispersion models. Mathematically, these models describe turbulent tr…
Adaptive Euler-Maruyama Method for SDEs with Non-globally Lipschitz Drift: Part I, Finite Time Interval
Wei Fang, Michael Bryce Giles
This paper proposes an adaptive timestep construction for an Euler-Maruyama approximation of SDEs with a drift which is not globally Lipschitz. It is proved that if the timestep is…
Acceleration of a Full-scale Industrial CFD Application with OP2
István Z. Reguly, Gihan R. Mudalige, Carlo Bertolli +4
Hydra is a full-scale industrial CFD application used for the design of turbomachinery at Rolls Royce plc. It consists of over 300 parallel loops with a code base exceeding 50K lin…
Multilevel Monte Carlo methods
Michael B. Giles
The author's presentation of multilevel Monte Carlo path simulation at the MCQMC 2006 conference stimulated a lot of research into multilevel Monte Carlo methods. This paper review…
Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
A. L. Teckentrup, R. Scheichl, M. B. Giles +1
We consider the application of multilevel Monte Carlo methods to elliptic PDEs with random coefficients. We focus on models of the random coefficient that lack uniform ellipticity…
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
Michael B. Giles, Lukasz Szpruch
In this paper we introduce a new multilevel Monte Carlo (MLMC) estimator for multi-dimensional SDEs driven by Brownian motions. Giles has previously shown that if we combine a nume…