Advances in computational finance and its application in grid computing

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"It is too early to be talking about economic recovery. We agreed that we are not out of the woods and that we must stay the course ..." -- these comments by our Finance Minister Jim Flaherty after a meeting of finance ministers from the group of G20 nations in London, England. on Sept.5, 2009 highlight the continuing global recession for more than a year even after intervention through stimulus packages. Some of the root causes of the problems are: (i) the greed and competition that have made managers to write complex financial instruments (credit default swap, collateralized debt obligation etc.) without a sound understanding on the actions and reactions of these instruments in the dynamic market; and (ii) financial institutions failing to constantly analyze the risk involved in their business. Increasing competition in the market drives the research for faster, and more accurate solutions for problems in finance that are complex and computationally challenging. This drive has created a new area of research called computational finance. Options are one of the common derivatives and pricing options is the backbone of major research problems in finance such as value at risk (VaR). Dr. Thulasiram's research will use modern computers and advanced computational techniques to study problems in finance. The activities proposed for research will address problems ranging from stock price prediction to mobile commerce, from option pricing to portfolio optimization and Value at Risk. Dr. Thulasiram's research employing advanced computing techniques inspired from natural world will make it easier to understand the behavior of some of the financial instruments. The research results could help speed up the decision making process for investments and hence avoid potential financial losses for millions of investors. Also, Dr. Thulasiram's research with the use of information technologies for finance problems will help the profit-making opportunities in the market place a reality. In addition, Dr. Thulasiram's research results will be applied to solve some new problems in computing, for example, renting large number of computers located at various places (e.g., in a computational "grid") for use any time (like the Internet today).