Grid Computing Support for Financial Engineering

As the recent financial crises clearly shows, a careful assessment of the risks and profitability of financial products, such as financial derivatives is essential for the financial health of both the financial institutions and the economy. Typically the design of financial products is continuously tested using large, expensive super-computers crunching large amounts of financial data. Smaller financial institutions, that cannot afford the computing power either outsource the analysis to specialist companies or often do without a careful analysis. Grid computing can, in theory, provide a lower-cost and reliable alternative. However this requires that the financial models be adapted to access data and run in a grid environment.

The Financial Derivatives project can be an excellent learning experience for the undergraduate students. The research tasks that are related to the Financial Derivatives part of the project require an in-depth knowledge of Financial Concepts especially in the Derivatives field; however, the undergraduates can undertake certain research activities that do not require this detailed domain specific knowledge. These include writing MATLAB/C programs for solving the mathematical models (Monte Carlo/ Binomial), handling the heavy weight historical options data, rearranging the data and interpreting results from simulation, specification of network configuration and topology, and the installation of a network simulator.