Related papers: Quantum Computation for Pricing the Collateralized…
We present and analyze a quantum algorithm to estimate credit risk more efficiently than Monte Carlo simulations can do on classical computers. More precisely, we estimate the economic capital requirement, i.e. the difference between the…
We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods. The options that we…
Pricing a multi-asset derivative is an important problem in financial engineering, both theoretically and practically. Although it is suitable to numerically solve partial differential equations to calculate the prices of certain types of…
After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the…
Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. We are the first to study whether Quantum Monte Carlo (QMC) algorithm can improve the runtime of economic applications and…
The financial sector is anticipated to be one of the first industries to benefit from the increased computational power of quantum computers, in areas such as portfolio optimisation and risk management to financial derivative pricing.…
In the paper, the pricing of Quanto options is studied, where the underlying foreign asset and the exchange rate are correlated with each other. Firstly, we adopt Bayesian methods to estimate unknown parameters entering the pricing formula…
Pricing financial derivatives on quantum computers typically includes quantum arithmetic components which contribute heavily to the quantum resources required by the corresponding circuits. In this manuscript, we introduce a method based on…
We discuss how quantum computation can be applied to financial problems, providing an overview of current approaches and potential prospects. We review quantum optimization algorithms, and expose how quantum annealers can be used to…
Quantum computing is poised to transform the financial industry, yet its advantages over traditional methods have not been evidenced. As this technology rapidly evolves, benchmarking is essential to fairly evaluate and compare different…
This paper introduces a new semi-parametric approach to the pricing and risk management of bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto more than one reference portfolio. The only user input in…
Quantum Monte Carlo integration (QMCI) provides a quadratic speed-up over its classical counterpart, and its applications have been investigated in various fields, including finance. This paper considers its application to risk aggregation,…
Thanks to their ability to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary marginal distributions. More recently, they have been applied to solve statistical…
The Quadratic Unconstrained Binary Optimization (QUBO) model has gained prominence in recent years with the discovery that it unifies a rich variety of combinatorial optimization problems. By its association with the Ising problem in…
Portfolio construction has been a long-standing topic of research in finance. The computational complexity and the time taken both increase rapidly with the number of investments in the portfolio. It becomes difficult, even impossible for…
In this paper, we present a quantum version of some portions of Mathematical Finance, including theory of arbitrage, asset pricing, and optional decomposition in financial markets based on finite dimensional quantum probability spaces. As…
We tackle the problem of pricing Chinese convertible bonds(CCBs) using Monte Carlo simulation and dynamic programming. At each exercise time, we use the state variables of the underlying stock to regress the continuation value, and apply…
A critical problem in the financial world deals with the management of risk, from regulatory risk to portfolio risk. Many such problems involve the analysis of securities modelled by complex dynamics that cannot be captured analytically,…
This paper is the documentation of a pre-study performed by AXA Konzern AG in collaboration with Fraunhofer ITWM to assess the relevance of quantum computing for the insurance industry. Beside a general overview of the status quo of quantum…
Accurate and efficient pricing of multi-asset basket options poses a significant challenge, especially when dealing with complex real-world data. In this work, we investigate the role of quantum-enhanced uncertainty modeling in financial…