Advances in computational finance and its application in grid computing

计算金融学进展及其在网格计算中的应用

• 批准号: 239132-2010
• 负责人: Thulasiram, Ruppa
• 金额: $ 1.09万
• 依托单位: University of Manitoba
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2014
• 资助国家: 加拿大
• 起止时间: 2014-01-01 至 2015-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=547215
• 关键词: Advances; computational; finance; its; application

"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).

“现在谈论经济复苏还为时过早。我们一致认为我们还没有脱离险境，我们必须坚持到底...“--我们的财政部长吉姆·弗莱厄蒂在英国伦敦举行的20国集团财政部长会议后发表的这些评论。2009年9月5日的经济危机凸显出，即使在通过刺激方案进行干预后，全球经济衰退仍持续了一年多。 这些问题的一些根本原因是：（i）贪婪和竞争促使管理人员编写复杂的金融工具（信用违约互换、债务抵押债券等）。（ii）金融机构未能经常分析其业务所涉及的风险。市场竞争的加剧推动了对复杂且具有计算挑战性的金融问题的更快、更准确的解决方案的研究。这种驱动力创造了一个新的研究领域，称为计算金融。期权是一种常见的金融衍生工具，期权定价是金融学中主要研究问题的基础，如风险价值（VaR）。 Thulasiram博士的研究将使用现代计算机和先进的计算技术来研究金融问题。拟议的研究活动将解决从股票价格预测到移动的商务、从期权定价到投资组合优化和风险价值等问题。 Thulasiram博士的研究采用了从自然世界中获得灵感的先进计算技术，这将使人们更容易理解一些金融工具的行为。研究结果可以帮助加快投资决策过程，从而避免数百万投资者的潜在财务损失。此外，Thulasiram博士对利用信息技术解决金融问题的研究将有助于实现市场上的盈利机会。此外，Thulasiram博士的研究成果将被应用于解决计算领域的一些新问题，例如，租用大量位于不同地点的计算机（例如，在计算“网格”中）随时使用（就像今天的互联网）。