Related papers: Quantum Computation for Pricing the Collateralized…
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be…
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the…
The work discusses validation of properties of quantum circuits with many qubits using non-universal set of quantum gates ensuring possibility of effective simulation on classical computer. An understanding analogy between different models…
Clustering financial assets based on return correlations is a fundamental task in portfolio optimization and statistical arbitrage. However, classical clustering methods often fall short when dealing with signed correlation structures,…
We present an algorithm which efficiently estimates the intrinsic long-term value of a portfolio of assets on a quantum computer. The method relies on quantum amplitude estimation to estimate the mean of a novel implementation of the…
Quantum Portfolios of quantum algorithms encoded on qbits have recently been reported. In this paper a discussion of the continuous variables version of quantum portfolios is presented. A risk neutral valuation model for options dependent…
Accurate prediction of future loan defaults is a critical capability for financial institutions that provide lines of credit. For institutions that issue and manage extensive loan volumes, even a slight improvement in default prediction…
We formulate quantum computing solutions to a large class of dynamic nonlinear asset pricing models using algorithms, in theory exponentially more efficient than classical ones, which leverage the quantum properties of superposition and…
Quantum computers are expected to have substantial impact on the finance industry, as they will be able to solve certain problems considerably faster than the best known classical algorithms. In this article we describe such potential…
This paper develops a coupled model for day-ahead electricity prices and average daily temperature which allows to model quanto weather and energy derivatives. These products have gained on popularity as they enable to hedge against both…
The main idea of this work is that the quantum-classical isomorphism is a suitable framework for a generalization of the notion of detailed balance. The quantum-classical isomorphism is used in order to develop a Monte Carlo simulation with…
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options. Although the American options are very…
The quantum circuit model is the most widely used model of quantum computation. It provides both a framework for formulating quantum algorithms and an architecture for the physical construction of quantum computers. However, several other…
The field of Electronic Design Automation (EDA) is crucial for microelectronics, but the increasing complexity of Integrated Circuits (ICs) poses challenges for conventional EDA: Corresponding problems are often NP-hard and are therefore in…
We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a…
This article aims to discuss some basics in field of credit modeling, specifically the pricing issue of FtD contract. We demonstrate how the popular copula approach is used in pricing FtD contract, and give a stimulation example of such…
During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfill finer conditions concerning counterparty credit exposures…
Approximate computing techniques have been successful in reducing computation and power costs in several domains. However, error sensitive applications in high-performance computing are unable to benefit from existing approximate computing…
In the paper, we use and investigate copulas models to represent multivariate dependence in financial time series. We propose the algorithm of risk measure computation using copula models. Using the optimal mean-$CVaR$ portfolio we compute…
Quantum computers are expected to offer significant advantages in solving complex optimization problems that are challenging for classical computers. Quadratic Unconstrained Binary Optimization (QUBO) problems represent an important class…