Advances in computational finance and its application in grid computing

“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……”这是我们的财政部长吉姆·费海提在英国伦敦举行的20国集团财长会议后发表的评论。2009年9月5日的经济危机凸显了持续了一年多的全球经济衰退，即使是在通过刺激计划进行干预之后。这些问题的一些根本原因是：(i)贪婪和竞争使得管理者在没有充分了解这些工具在动态市场中的作用和反应的情况下编写复杂的金融工具（信用违约掉期、债务抵押债券等）；（二）金融机构没有对业务风险进行持续分析。日益激烈的市场竞争促使研究人员寻求更快、更准确的解决方案，以解决复杂且具有计算挑战性的金融问题。这种驱动创造了一个新的研究领域，称为计算金融。期权是一种常见的衍生工具，期权定价是风险价值（VaR）等金融领域主要研究问题的基础。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。提出的研究活动将解决从股票价格预测到移动商务，从期权定价到投资组合优化和风险价值等问题。Thulasiram博士的研究采用了受自然世界启发的先进计算技术，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经济损失。此外，Thulasiram博士在利用信息技术解决金融问题方面的研究将有助于实现市场上的盈利机会。此外，Thulasiram博士的研究成果将应用于解决计算领域的一些新问题，例如，租用分布在不同地点（例如，在计算“网格”中）的大量计算机，以便随时使用（就像今天的互联网）。

"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).