Related papers: Quantum Computation for Pricing the Collateralized…
We present a quantum algorithm for European option pricing in finance, where the key idea is to work in the unary representation of the asset value. The algorithm needs novel circuitry and is divided in three parts: first, the amplitude…
Non-covalent interactions are a key ingredient to determine the structure, stability, and dynamics of materials, molecules, and biological complexes. However, accurately capturing these interactions is a complex quantum many-body problem,…
In finance, assessing the creditworthiness of loan applicants requires lenders to cluster borrowers using rating scales. Financial institutions must define the scales in compliance with strict institutional constraints, resulting in solving…
Quantum mechanics is well known to accelerate statistical sampling processes over classical techniques. In quantitative finance, statistical samplings arise broadly in many use cases. Here we focus on a particular one of such use cases,…
Modeling joint probability distributions is an important task in a wide variety of fields. One popular technique for this employs a family of multivariate distributions with uniform marginals called copulas. While the theory of modeling…
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that…
Quantum computing and quantum Monte Carlo (QMC) are respectively the state-of-the-art quantum and classical computing methods for understanding many-body quantum systems. Here, we propose a hybrid quantum-classical algorithm that integrates…
Scaling quantum computers, i.e., quantum processing units (QPUs) to enable the execution of large quantum circuits is a major challenge, especially for applications that should provide a quantum advantage over classical algorithms. One…
In this article, we present an approach which allows to take into account the effect of extreme values in the modeling of financial asset returns and in the valorisation of associeted options. Specifically, the marginal distribution of…
Quantum models based on the mathematics of quantum mechanics (QM) have been developed in cognitive sciences, game theory and econophysics. In this work a generalization of credit loans is introduced by using the vector space formalism of…
Quantum computers can solve specific problems that are not feasible on "classical" hardware. Harvesting the speed-up provided by quantum computers therefore has the potential to change any industry which uses computation, including finance.…
Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying assets valued in different foreign currencies each with a…
Realistic modeling of qubit systems including noise and constraints imposed by control hardware is required for performance prediction and control optimization of quantum processors. We introduce qopt, a software framework for simulating…
Previously only considered a frontier area of Physics, nowadays quantum computing is one of the fastest growing research field, precisely because of its technological applications in optimization problems, machine learning, information…
Recent advances in quantum computing and the increasing availability of quantum hardware have substantially enhanced the practical relevance of quantum approaches to discrete optimization. Among these, the Quadratic Unconstrained Binary…
Contemporary scientific studies often rely on the understanding of complex quantum systems via computer simulation. This paper initiates the statistical study of quantum simulation and proposes a Monte Carlo method for estimating…
We investigate the feasibility of integrating quantum algorithms as subroutines of simulation-based optimisation problems with relevance to and potential applications in mathematical finance. To this end, we conduct a thorough analysis of…
The solution of option-pricing problems may turn out to be computationally demanding due to non-linear and path-dependent payoffs, the high dimensionality arising from multiple underlying assets, and sophisticated models of price dynamics.…
We present a general derivation of the arbitrage-free pricing framework for multiple-currency collateralized products. We include the impact on option pricing of the policy adopted to fund in foreign currency, so that we are able to price…
Simulating quantum circuits with classical computers requires resources growing exponentially in terms of system size. Real quantum computer with noise, however, may be simulated polynomially with various methods considering different noise…