Related papers: Skewing Quanto with Simplicity
We describe an implementation of quantum error correction that operates continuously in time and requires no active interventions such as measurements or gates. The mechanism for carrying away the entropy introduced by errors is a cooling…
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…
The solution of physical problems discretized using the finite element methods using quantum computers remains relatively unexplored. Here, we present a unified formulation (FEqa) to solve such problems using quantum annealers. FEqa is a…
We develop an arbitrage-free random field LIBOR market model to price cross-currency derivatives. The uncertainty of the forward LIBOR rates of our cross-currency model is driven by a two time parameter random field instead of a finite…
This paper tackles forecast combination with many forecasts or minimum variance portfolio selection with many assets. A novel convex problem called L2-relaxation is proposed. In contrast to standard formulations, L2-relaxation minimizes the…
This paper investigates the experimental performance of a discrete portfolio optimization problem relevant to the financial services industry on the gate-model of quantum computing. We implement and evaluate a portfolio rebalancing use case…
Accurately characterizing the implied volatility curves is a central challenge in option pricing and risk management. The classical SABR model by Hagan et al. has been widely adopted in practice due to its well-defined stochastic volatility…
Quantum Singular Value Transformation (QSVT) is a state-of-the-art, near-optimal quantum algorithm that can be used for matrix inversion. The QSVT circuit is parameterized by a sequence of angles that must be pre-calculated classically,…
In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price. The asset price is assumed to follow the Bachelier model with a general stochastic…
A unified approach, for solving a wide class of single and many-body quantum problems, commonly encountered in literature is developed based on a recently proposed method for finding solutions of linear differential equations. Apart from…
Monte Carlo is a simple and flexible tool that is widely used in computational finance. In this context, it is common for the quantity of interest to be the expected value of a random variable defined via a stochastic differential equation.…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
The accurate valuation of financial derivatives plays a pivotal role in the finance industry. Although closed formulas for pricing are available for certain models and option types, exemplified by the European Call and Put options in the…
Fast quantum data transmission faces several shortcomings such as the indistinguishability of some partly overlapping signals, the channel noises, and so on. Based on the encoded quantum data transmission protocol, an unconventional scheme…
In this study, we give an extension of Montanaro's arXiv/archive:1504.06987 quantum Monte Carlo method, tailored for computing expected values of random variables that exhibit infinite variance. This addresses a challenge in analyzing…
We propose a new way for speeding up the search of the maximal solution $X_+$ of $X + A^\top X^{-1} A = Q$. It is known that the speed of convergence of traditional approaches for solving this problem depends highly on the spectral radius…
In this paper, a new type of multi-level correction scheme is proposed for solving eigenvalue problems by finite element method. With this new scheme, the accuracy of eigenpair approximations can be improved after each correction step which…
In this paper we study short-time behavior of the at-the-money implied volatility for Inverse European options with fixed strike price. The asset price is assumed to follow a general stochastic volatility process. Using techniques of the…
The stock market, as a cornerstone of the financial markets, places forecasting stock price movements at the forefront of challenges in quantitative finance. Emerging learning-based approaches have made significant progress in capturing the…
The purpose of this little survey is to give a simple description of the main approaches to quantum error correction and quantum fault-tolerance. Our goal is to convey the necessary intuitions both for the problems and their solutions in…