Michael B. Giles

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

SCHOLARLY PAPERS

2

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CITATIONS
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Top 40,226

in Total Papers Citations

4

Scholarly Papers (2)

1.

Algorithmic Differentiation: Adjoint Greeks Made Easy

Number of pages: 12 Posted: 04 Apr 2011
Luca Capriotti and Michael B. Giles
Quantitative Strategies - Investment Banking Division - Credit Suisse Group and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 1,513 (5,496)
Citation 1

Abstract:

Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing

2.

Fast Correlation Greeks by Adjoint Algorithmic Differentiation

Number of pages: 6 Posted: 12 Apr 2010
Luca Capriotti and Michael B. Giles
Quantitative Strategies - Investment Banking Division - Credit Suisse Group and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 356 (48,217)
Citation 3

Abstract:

Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing, Credit Derivatives