| Publication | Date of Publication | Type |
|---|
15 years of Adjoint Algorithmic Differentiation (AAD) in finance
Quantitative Finance | 2025-01-06 | Paper |
| Approximation of an inverse of the incomplete beta function | 2024-11-13 | Paper |
Multilevel path branching for digital options
The Annals of Applied Probability | 2024-10-16 | Paper |
Approximating inverse cumulative distribution functions to produce approximate random variables
ACM Transactions on Mathematical Software | 2024-09-10 | Paper |
Rounding error using low precision approximate random variables
SIAM Journal on Scientific Computing | 2024-07-19 | Paper |
Effects of round-to-nearest and stochastic rounding in the numerical solution of the heat equation in low precision
IMA Journal of Numerical Analysis | 2023-08-14 | Paper |
| MLMC techniques for discontinuous functions | 2023-01-07 | Paper |
| Multilevel Path Branching for Digital Options | 2022-09-07 | Paper |
Block-structured compressible Navier-Stokes solution using the OPS high-level abstraction
International Journal of Computational Fluid Dynamics | 2022-05-03 | Paper |
Analysis of nested multilevel Monte Carlo using approximate normal random variables
SIAM/ASA Journal on Uncertainty Quantification | 2022-03-10 | Paper |
Importance sampling for pathwise sensitivity of stochastic chaotic systems
SIAM/ASA Journal on Uncertainty Quantification | 2021-10-26 | Paper |
Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling
SIAM Journal on Scientific Computing | 2021-08-25 | Paper |
| Approximating inverse cumulative distribution functions to produce approximate random variables | 2020-12-17 | Paper |
| Rounding error using low precision approximate random variables | 2020-12-17 | Paper |
Multilevel Monte Carlo estimation of the expected value of sample information
SIAM/ASA Journal on Uncertainty Quantification | 2020-12-08 | Paper |
An introduction to multilevel Monte Carlo methods
Proceedings of the International Congress of Mathematicians (ICM 2018) | 2020-09-22 | Paper |
QMC Sampling from Empirical Datasets
Springer Proceedings in Mathematics & Statistics | 2020-08-26 | Paper |
Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
The Annals of Applied Probability | 2020-08-17 | Paper |
Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
The Annals of Applied Probability | 2020-08-17 | Paper |
An adaptive random bit multilevel algorithm for SDEs
Multivariate Algorithms and Information-Based Complexity | 2020-07-27 | Paper |
Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations
Statistics and Computing | 2020-02-26 | Paper |
Multilevel quasi Monte Carlo methods for elliptic PDEs with random field coefficients via fast white noise sampling
(available as arXiv preprint) | 2019-11-27 | Paper |
| Generalised multilevel Picard approximations | 2019-11-08 | Paper |
Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI
Statistics and Computing | 2019-10-18 | Paper |
Random bit multilevel algorithms for stochastic differential equations
Journal of Complexity | 2019-09-19 | Paper |
Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
Discrete and Continuous Dynamical Systems. Series B | 2019-08-28 | Paper |
Multilevel nested simulation for efficient risk estimation
SIAM/ASA Journal on Uncertainty Quantification | 2019-08-12 | Paper |
Multilevel Monte Carlo method for ergodic SDEs without contractivity
Journal of Mathematical Analysis and Applications | 2019-05-10 | Paper |
An Adaptive Random Bit Multilevel Algorithm for SDEs
(available as arXiv preprint) | 2019-02-26 | Paper |
Random bit quadrature and approximation of distributions on Hilbert spaces
Foundations of Computational Mathematics | 2019-02-21 | Paper |
| Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift | 2019-02-18 | Paper |
Combining sparse grids, multilevel MC and QMC for elliptic PDEs with random coefficients
(available as arXiv preprint) | 2019-02-18 | Paper |
MLMC for nested expectations
Contemporary Computational Mathematics - A Celebration of the 80th Birthday of Ian Sloan | 2019-01-22 | Paper |
Multilevel estimation of expected exit times and other functionals of stopped diffusions
SIAM/ASA Journal on Uncertainty Quantification | 2019-01-21 | Paper |
Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes
SIAM/ASA Journal on Uncertainty Quantification | 2019-01-21 | Paper |
Efficient white noise sampling and coupling for multilevel Monte Carlo with non-nested meshes
(available as arXiv preprint) | 2018-03-13 | Paper |
Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
Journal of Computational Physics | 2018-02-22 | Paper |
Multilevel Monte Carlo for exponential Lévy models
Finance and Stochastics | 2017-10-23 | Paper |
Manycore algorithms for batch scalar and block tridiagonal solvers
ACM Transactions on Mathematical Software | 2017-06-30 | Paper |
| Adaptive Multilevel Monte Carlo Approximation of Distribution Functions | 2017-06-21 | Paper |
Quasi-Monte Carlo for finance applications
ANZIAM Journal | 2017-04-12 | Paper |
| Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift: Part II, infinite time interval | 2017-03-20 | Paper |
Non-nested adaptive timesteps in multilevel Monte Carlo computations
Springer Proceedings in Mathematics & Statistics | 2017-01-20 | Paper |
Extending the multi-level method for the simulation of stochastic biological systems
Bulletin of Mathematical Biology | 2016-11-30 | Paper |
Algorithm 955: Approximation of the inverse Poisson cumulative distribution function
ACM Transactions on Mathematical Software | 2016-10-24 | Paper |
| Multilevel Monte Carlo for Scalable Bayesian Computations | 2016-09-15 | Paper |
Multilevel Monte Carlo approximation of distribution functions and densities
SIAM/ASA Journal on Uncertainty Quantification | 2015-09-09 | Paper |
Multilevel Monte Carlo methods
Acta Numerica | 2015-06-08 | Paper |
Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs
Springer Proceedings in Mathematics & Statistics | 2014-10-31 | Paper |
Multilevel Monte Carlo methods
Springer Proceedings in Mathematics & Statistics | 2014-10-31 | Paper |
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
The Annals of Applied Probability | 2014-08-06 | Paper |
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
The Annals of Applied Probability | 2014-08-06 | Paper |
Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
Numerische Mathematik | 2013-11-13 | Paper |
Multilevel Monte Carlo methods for applications in finance
Recent Developments in Computational Finance | 2013-09-24 | Paper |
Multilevel path simulation for jump-diffusion SDEs
Springer Proceedings in Mathematics & Statistics | 2013-07-31 | Paper |
Computing Greeks using multilevel path simulation
Springer Proceedings in Mathematics & Statistics | 2013-07-31 | Paper |
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
Computing and Visualization in Science | 2012-05-09 | Paper |
Convergence of linearized and adjoint approximations for discontinuous solutions of conservation laws. I: Linearized approximations and linearized output functionals
SIAM Journal on Numerical Analysis | 2011-04-11 | Paper |
Convergence of linearized and adjoint approximations for discontinuous solutions of conservation laws. II: Adjoint approximations and extensions
SIAM Journal on Numerical Analysis | 2011-04-11 | Paper |
| scientific article; zbMATH DE number 5870403 (Why is no real title available?) | 2011-03-25 | Paper |
Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Finance and Stochastics | 2010-04-22 | Paper |
Vibrato Monte Carlo sensitivities
Monte Carlo and Quasi-Monte Carlo Methods 2008 | 2010-02-15 | Paper |
| Multilevel quasi-Monte Carlo path simulation | 2010-01-13 | Paper |
Multilevel Monte Carlo Path Simulation
Operations Research | 2009-08-13 | Paper |
Pricing Exotic Options Using Strong Convergence Properties
Progress in Industrial Mathematics at ECMI 2006 | 2009-03-31 | Paper |
| Collected matrix derivative results for forward and reverse mode algorithmic differentiation | 2008-10-17 | Paper |
| Variance reduction through multilevel Monte Carlo path calculations | 2008-07-29 | Paper |
| Improved multilevel Monte Carlo convergence using the Milstein scheme | 2008-06-11 | Paper |
Sharp error estimates for discretizations of the 1D convection–diffusion equation with Dirac initial data
IMA Journal of Numerical Analysis | 2007-05-14 | Paper |
Adjoint methods for PDEs: a posteriori error analysis and postprocessing by duality
Acta Numerica | 2006-12-18 | Paper |
Stabilization of a Linearized Navier-Stokes Solver for Turbomachinery Aeroelasticity
Computational Fluid Dynamics 2002 | 2005-03-30 | Paper |
Discrete Adjoint Approximations with Shocks
Hyperbolic Problems: Theory, Numerics, Applications | 2005-03-14 | Paper |
Progress in adjoint error correction for integral functionals
Computing and Visualization in Science | 2005-02-08 | Paper |
Adjoint and defect error bounding and correction for functional estimates
Journal of Computational Physics | 2004-11-22 | Paper |
| scientific article; zbMATH DE number 1959470 (Why is no real title available?) | 2003-08-05 | Paper |
The harmonic adjoint approach to unsteady turbomachinery design
International Journal for Numerical Methods in Fluids | 2003-03-10 | Paper |
| scientific article; zbMATH DE number 1522881 (Why is no real title available?) | 2002-07-22 | Paper |
Stability analysis of preconditioned approximations of the Euler equations on unstructured meshes
Journal of Computational Physics | 2002-06-26 | Paper |
An introduction to the adjoint approach to design
Flow, Turbulence and Combustion | 2002-01-08 | Paper |
| scientific article; zbMATH DE number 1890979 (Why is no real title available?) | 2002-01-01 | Paper |
Analytic adjoint solutions for the quasi-one-dimensional Euler equations
Journal of Fluid Mechanics | 2001-08-30 | Paper |
Adjoint Recovery of Superconvergent Functionals from PDE Approximations
SIAM Review | 2000-07-20 | Paper |
| scientific article; zbMATH DE number 1301981 (Why is no real title available?) | 2000-07-05 | Paper |
Eigenmode analysis of boundary conditions for the one-dimensional preconditioned Euler equations
Journal of Computational Physics | 2000-05-25 | Paper |
| Implicit time-accurate solutions on unstructured dynamic grids | 1999-04-07 | Paper |
| Stability analysis of numerical interface conditions in fluid-structure thermal analysis | 1998-08-02 | Paper |
Stability analysis of a Galerkin/Runge-Kutta Navier-Stokes discretisation on unstructured tetrahedral grids
Journal of Computational Physics | 1998-01-29 | Paper |
On the stability and convergence of discretizations of initial value p.d.e.s
IMA Journal of Numerical Analysis | 1997-12-14 | Paper |
| STABILITY AND ACCURACY OF NUMERICAL BOUNDARY CONDITIONS IN AEROELASTIC ANALYSIS | 1997-12-08 | Paper |
Preconditioned multigrid methods for compressible flow calculations on stretched meshes
Journal of Computational Physics | 1997-11-06 | Paper |
Simultaneous viscous-inviscid coupling via transpiration
Journal of Computational Physics | 1996-04-01 | Paper |
Validity of linearized unsteady Euler equations with shock capturing
AIAA Journal | 1994-03-13 | Paper |
| scientific article; zbMATH DE number 218132 (Why is no real title available?) | 1993-06-29 | Paper |
Viscous-inviscid analysis of transonic and low Reynolds number airfoils
AIAA Journal | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3976640 (Why is no real title available?) | 1986-01-01 | Paper |
Propagation and stability of wavelike solutions of finite difference equations with variable coefficients
Journal of Computational Physics | 1985-01-01 | Paper |
A numerical study of the steady scalar convective diffusion equation for small viscosity
Journal of Computational Physics | 1984-01-01 | Paper |
