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

3

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SSRN CITATIONS
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Top 26,306

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6

CROSSREF CITATIONS

39

Scholarly Papers (3)

1.

Algorithmic Differentiation: Adjoint Greeks Made Easy

Number of pages: 12 Posted: 04 Apr 2011
Luca Capriotti and Michael B. Giles
Columbia University and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 3,244 (7,137)
Citation 25

Abstract:

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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
Columbia University and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 655 (76,208)
Citation 22

Abstract:

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

3.

15 Years of Adjoint Algorithmic Differentiation in Finance

Number of pages: 29 Posted: 30 Oct 2023
Luca Capriotti and Michael B. Giles
Columbia University and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 367 (152,666)

Abstract:

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Algorithmic Differentiation, Monte Carlo Simulations, Partial Differential Equations, Derivatives Pricing, Calibration of Stochastic Models