Mike Giles is Professor of Scientific Computing at the Oxford University Mathematical Institute, where he is a member of the Mathematical and Computational Finance Group, and Associate Director of the Oxford e-Research Centre.  He studied mathematics at Cambridge before doing a PhD in Aeronautical Engineering at MIT.  He was an Assistant / Associate Professor at MIT for several years before moving to Oxford in 1992 to join the Computing Laboratory. 

He worked for many years developing methods for computational fluid dynamics simulations, with application to aircraft engine design and analysis, and this led to a strong interest in parallel computing.  In 2005 he moved into computational finance with a focus on the development of improved Monte Carlo methods, and this led to his transfer to the Mathematical Institute in 2008. In 2007 he was named ‘Quant of the Year’ by Risk magazine, together with Paul Glasserman of Columbia Business School, for their joint work on the use of adjoints for the efficient calculation of Monte Carlo sensitivities.

Because of his background in parallel computing, he began GPU computing when CUDA was first released, developing Monte Carlo and finite difference applications, and working on random number generation with NAG.  This led to him being named an NVIDIA CUDA Fellow in Computational Finance in 2008.  More recently, in a link to his old CFD interests, he has begun development of an open source library for the execution of unstructured grid applications on GPU clusters.  He also teaches an annual course on GPU computing which in 2010 attracted 80 attendees from across the UK.

Computational Fluid Dynamics, Parallel Computing, Monte Carlo, NAG