High Quality Personnel trianed through this project since spring 2004 are: Mr. David Allenotor, Mr. Raj Appadoo, Ms. Adineke Bamgbade, Mr. Sajib Barua, Mr. Dmitri Bondarenko, Mr. Amit Chabbra, Mr. Gong Chen, Dr. Girish Kumar Jha Ms. Kai Huang, Mr. Kiran Kola, Mr. Sameer Kumar, Mr. Sergie Rahmayil, Ms. Ilona Shiller, Dr. Kamal Smimou, and Mr. Mathew McLaren.


Some of the results from this project are published and are listed in the publications link. They are also listed here with high quality personnel trained highlighted.
  1. (J) Kiran Kola, Ruppa K. Thulasiram and Parimala Thulasiraman, "A Software Architecture Framework for On-line Option Pricing" , The Journal of Supercomputing (To appear)
  2. (J) J. Wang, E. Osagie, P. Thulasiraman and R.K. Thulasiram, "HOPNET: A Hybrid ant colony OPtimization routing algorithm for Mobile ad hoc Network", Elsevier Ad hoc Networks - (to appear)
  3. (J)
  4. (C) David Allenotor and Ruppa K. Thulasiram, Grid Resources Pricing: A Novel Financial Option-Based Quality of Service-Profit Quasi-Static Equilibrium Model Proc. of the 9th IEEE/ACM International Conference on Grid Computing (Grid 2008) , Tsukuba, Japan, Sep.29-Oct.1, 2008. (acceptance rate 19%)
  5. (J) David Allenotor and Ruppa K. Thulasiram GFRoM: Grid Resources Pricing -- A Fuzzy Real Option Model and Quality of Service Guarantee, Intl. Journal of High Performance Computing and Networking (to appear)
  6. (C) David Allenotor, and Ruppa K. Thulasiram, A Fuzzy Grid-QoS Framework for Obtaining Higher Grid Resources Availability, 3rd IEEE International Conference on Grid and Pervasive Computing (GPC2008), Kunming, China, May 2008. GPC 2008
  7. (C) S. Kumar, R.K. Thulasiram and P. Thulasiraman, "A Bio-inspired Algorithm to Price Options", Proc. 1st Canadian Conference on Computer Science and Software Engineering, May 2008, Montreal, pp.11-22 (published by the ACM).
  8. (C) E. Osagie, P. Thulasiraman and R. K. Thulasiram, "PACONET: imProved Ant Colony Optimization routing algorithm for mobile ad hoc NETworks", IEEE Comp. Society Proc. 22nd Intl. Conf. on Adv. Information Networks and Applications, Okinawa, Japan, March 2008, pp.204-211.
  9. (C) David Allenotor and Ruppa K. Thulasiram, G-FRoM: Grid Resources Pricing - A Fuzzy Real Option Model, 3rd IEEE International Conference on eSceince and Grid Computing , Bangalore, India, Dec.10-13, 2007. (acceptance rate ~ 25%)
  10. (C) David Allenotor and Ruppa K. Thulasiram, A Real Option Model for Pricing Grid Computing Resources and QoS, a poster at the 8th IEEE/ACM In ternational Conference on Grid Computing (Grid 2007) , Austin, TX, Sep.19-21, 2007. (acceptance rate: not known)
  11. (C) David Allenotor and Ruppa K. Thulasiram, A Grid Resources Valuation Model Using Fuzzy R eal Option, 5th International Symposium on Paralle l and Distributed Processing and Applications (ISPA 2007) , Niagara Falls, Canada, Aug.29-31, 200 7. (Nominated for best paper award) (Received Honorary Mention) (acceptance rate ~ 30%)
  12. (C) Kiran Kola, Amit Chhabra , Ruppa K. Thulasiram and Parimala Thulasiraman, "A Software Architecture Framework for On-line Option Pricing" , Proc. 4th International Symposium on Parallel and Distributed Processing and Applications (ISPA-06) , Sorrento, Italy, Dec.4-7, 2006; (LNCS Vol. 4330, pp.747-759, 2006). (Awarded BEST PAPER) .
  13. (C) Weirong Zhu, Parimala Thulasiraman, Ruppa K. Thulasiram and Guang Gao, "Exploring Financial Applications on Many-core-on-a-chip Architecture: A First Experiment" , Proc. 4th International Symposium o nParallel and Distributed Processing and Applications (ISPA-06) , Sorrento, Italy, Dec.4-7, 2006; (LNCS Vol. 4331, pp.221-230, 2006).
  14. (C) Ruppa K. Thulasiram, Gong Chen , Parimala Thulasiraman and K.P.J. Reddy "Direct Microscopic Simulation of Price Particles for Option Pricing" , 3rd Econophysics , (to appear) Tokyo, Japan, Nov.23-25, 2006.
  15. (C) Gong Chen, Parimala Thulasiraman and Ruppa K. Thulasiram, "Distributed Adaptive Quasi-Monte Carlo Algorithm for Option Pricing on HNOWs Using mpC", 39th Annual Simulation Sympoisum, Hunstville, AL, USA, April 2-6, 2006.
  16. (J) S.Yu. Sadov, P.N. Shivakumar, D. Firsov, S.H. Lui, R. Thulasiram, Mathematical Model of Ice Melting on Transmission Lines, Springer Journal of Mathematical Modeling and Algorithms (JMMA) -- Accepted (Print version to appear; Springer On-line version available here )
  17. (J) Ruppa K. Thulasiram, Chen Zhen, Amit Chhabra, Parimala Thulasiraman and Abba Gumel, A Second Order L0 Stable Algorithm for Evaluating European Options, Intl. J. of High Performance Computing and Networking (IJHPCN) Vol.4, Issue 5/6, pp.311-320, 2006 (Inderscience Enterprise Ltd., published in Summer 2007).
  18. (C) Gong Chen, Parimala Thulasiraman and Ruppa K. Thulasiram, "Distributed Adaptive Quasi-Monte Carlo Algorithm for Option Pricing on HNOWs Using mpC", 39th Annual Simulation Sympoisum, Hunstville, AL, USA, April 2-6, 2006.
  19. (J) S.S. Appadoo, R. K. Thulasiram, and C.R. Bector, " CAPM Assisted Fuzzy Binomial Lattice Method for Option Princing ", Journal of Applied Finance, 12 , 1, pp.30-43, Jan. 2006.
  20. (C) Kiran Kola and Ruppa K. Thulasiram, "UNNATI: Ubiquitous option pricing - a fiNaNce ApplicaTIon framework", Proc. 13th Intl. Conf. on Advanced Computing and Communications, Coimbatore, India, Dec. 2005, pp.191-198.
  21. (J) Amit Chhabra, Parimala Thulasiraman, and Ruppa K. Thulasiram, "FLEET: A Framework for evaLuating European options in a parallEl and disTributed environment ", International Journal of High Performance Computing and Applications (accepted).
  22. (C) Sajib Barua, Ruppa K. Thulasiram, and Parimala Thulasiraman, "High Performance Computing for a Financial Application using Fast Fourier Transform", Proc. European Parallel Computing Conference, (EuroPar 2005), Lisbon, Portugal, LNCS 3648: 1246-1253, Aug-Sep, 2005.
  23. (C) Ruppa K. Thulasiram, and Adineke Bamgbade, "An Application of Instance Based Learning Algorithm for Predicting Stock Market Index", Proc. (CD-RoM) Intl. Conf. on Computational Intelligence in Economics and Finance, Salt Lake City, Utah, USA, July 2005. (to appear)
  24. (C) Carson K. Leung, Ruppa K. Thulasiram and Dmitri Bondarenko, "The Use of Data Mining Techniques in Detecting Noises and Pre-Processing Financial Time Series", Proc. (CD-RoM) Intl. Conf. on Computational Intelligence in Economics and Finance, Salt Lake City, Utah, USA, July 2005. (to appear)
  25. (C) Ruppa K. Thulasiram, Parimala Thulasiraman, and Md. Rashedur Rahman, "Wavelet Optimized Finite-Difference Approach to Solve Jump-Diffusion type Partial Differential Equation for Option Pricing", Proc. (CD-RoM) Society for Computational Economics (SCE) 5th International Conference on Computing in Economics and Finance (CEF05), Washington, DC, USA, June 2005 (to appear).
  26. (C) Sergiy Rakhmayi, Ilona Shiller and Ruppa K. Thulasiram, "Cost of Option Pricing Errors Associated with Incorrect Estimates of the Underlying Assets Volatility: Monte Carlo Simulation", Proc. (CD-RoM) 11th IMACS International Conference on Monte Carlo Methods, Tallahassee, FL, USA, May 2005 (to appear).
  27. (C) Kai Huang and Ruppa K. Thulasiram, "Parallel Algorithm for Pricing American Asian Options with Multi-Dimensional Assets", Proc. (CD-RoM) 19th Intl. Symp. High Performance Computing Systems and Applications (HPCS), Guelph, ON, Canada, May 2005. (to appear)
  28. (C) S.S. Appadoo, R. K. Thulasiram, and C.R. Bector, " CAPM Assisted Fuzzy Binomial Lattice Method for Option Princing ", Proc. of the 2nd Internationl Conference on Business and Finance , Hyderabad, India, pp.78-94, Dec. 2004 (published in Summer 2005) (initial version also in CD-RoM).
  29. (C) Amit Chhabra, Parimala Thulasiraman, and Ruppa K. Thulasiram, "Distributed Computing with CORBA and Multithreading with Java OpenMP on NoCs: A Framework for CFD", Proc. (CD-RoM) 12th Intl. Conf. on Advanced Computing and Communications, Ahmedabad, India, Dec. 2004.
  30. (C) S.S. Appadoo, R. K. Thulasiram, C.R. Bector and A. Thavaneswaran, " Fuzzy Algebraic Approach to Option Princing - A Fundamental Investigation ", Proceedings (CD-RoM) of the 32nd Annual Administrative Sciences Association of Canada (ASAC) Conference , June 5-8, 2004 Quebec City, Quebec, Canada.
  31. (C) Amit Chhabra, Parimala Thulasiraman, Mohammad Towhidur Islam, and Ruppa K. Thulasiram, " An OpenMP implementation of FTCS method for reduced Black-Scholes Equation ", Proceedings of the International Symposium on High Performance Computing Systems and Applications (HPCS), May 16-19, 2004 Winnipeg, MB, Canada, pp. 205-207.
  32. (C) Mohammad T. Islam, Parimala Thulasiraman and Ruppa K.Thulasiram, " An Ant Colony Optimization Based Routing Algorithm in Mobile Ad hoc Networks and its Parallel Implementation Networks and its Parallel Implementation", Chapter 18 in High Performance Scientific and Engineering Computing (Ed. Laurence Yang and Yi Pan), Kluwer Academic Publishers, Nowell, MA, USA, 2004.
  33. (C) Ruppa K. Thulasiram, Chen Zhen and Abba Gumel, " A second order L_{0} stable algorithm for evaluating European options", Proceedings of the International Symposium on High Performance Computing Systems and Applications (HPCS), May 16-19, Winnipeg, MB, Canada
  34. (C) Sajib Barua , Ruppa K. Thulasiram, and Parimala Thulasiraman, " Fast Fourier Transform for Option Pricing: Improved Mathematical Modeling and Design of Efficient Parallel Algorithm ", Proceedings (CD-RoM)of the International Conference on Computational Science and its Applications, Assisi, Italy, May 14-17, 2004.
  35. (C) Sergiy Rahmail, Ilona Shiller and Ruppa K. Thulasiram, "Different estimators of the underlying asset's volatility and option pricing errors: Parallel Monte- Carlo simulation" Proceedings of the International Conference on Computational Finance and its Applications (ICCFA), Bologna, Italy, April 21-23, 2004.

Under Review in Journals:

  1. Sergiy Rahmayil, Ilona Shiller, and Ruppa K. Thulasiram, Cost of Option Pricing Erros Associated with Incorrect Estimates of the Underlying Assets Volatility: Parallel Monte Carlo Simulation, Intl. Association for Mathematics and Computers in Simulation (IMACS) Journal of Mathematics and Computers in Simulation (Elsevier Science).
  2. Kamal Smimou , Ruppa Thulasiram, Design of a Parallel Algorithm for Large-Scale Portfolio Selection Optimization Model, .
  3. Carson Kai-Sang Leung, Ruppa K. Thulasiram, and Dmitri A. Bondarenko Applying Data Mining Techniques for Detecting Noises and Pre-Processing Financial Time Series, Information Sciences(Revised version recommended for publication).
  4. Ruppa K. Thulasiram and Adineke Y. Bamgbade, Application of an Instance Based Learning Algorithm for Predicting Stock Market Index