Related papers: Quantum algorithm for copula-based risk aggregatio…
The 2008 mortgage crisis is an example of an extreme event. Extreme value theory tries to estimate such tail risks. Modern finance practitioners prefer Expected Shortfall based risk metrics (which capture tail risk) over traditional…
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…
Portfolio optimization is a primary component of the decision-making process in finance, aiming to tactfully allocate assets to achieve optimal returns while considering various constraints. Herein, we proposed a method that uses the…
Financial crimes fast proliferation and sophistication require novel approaches that provide robust and effective solutions. This paper explores the potential of quantum algorithms in combating financial crimes. It highlights the advantages…
Quasi-Monte Carlo (QMC) is a powerful method for evaluating high-dimensional integrals. However, its use is typically limited to distributions where direct sampling is straightforward, such as the uniform distribution on the unit hypercube…
Quantum computation and quantum information are of great current interest in computer science, mathematics, physical sciences and engineering. They will likely lead to a new wave of technological innovations in communication, computation…
Quantum sampling, a fundamental subroutine in numerous quantum algorithms, involves encoding a given probability distribution in the amplitudes of a pure state. Given the hefty cost of large-scale quantum storage, we initiate the study of…
Portfolio Optimization (PO) is a financial problem aiming to maximize the net gains while minimizing the risks in a given investment portfolio. The novelty of Quantum algorithms lies in their acclaimed potential and capability to solve…
Large particle systems are often described by high-dimensional (linear) kinetic equations that are simulated using Monte Carlo methods for which the asymptotic convergence rate is independent of the dimensionality. Even though the…
Explosive increase of interest in quantum computing has resulted in various proposals for generation of quantum bits or qubits, the basic quantum computing unit. The superconducting qubits of Josephson Junction are the most widely accepted…
Machine learning has been increasingly utilized in the field of biomedical research to accelerate the drug discovery process. In recent years, the emergence of quantum computing has been followed by extensive exploration of quantum machine…
Various kinetic Monte Carlo algorithms become inefficient when some of the population sizes in a system are large, which gives rise to a large number of reaction events per unit time. Here, we present a new acceleration algorithm based on…
Importance sampling is a promising variance reduction technique for Monte Carlo simulation based derivative pricing. Existing importance sampling methods are based on a parametric choice of the proposal. This article proposes an algorithm…
We design and implement a novel algorithm for computing a multilevel Monte Carlo (MLMC) estimator of the cumulative distribution function of a quantity of interest in problems with random input parameters or initial conditions. Our approach…
We investigate the application of randomized quasi-Monte Carlo (RQMC) methods in random feature approximations for kernel-based learning. Compared to the classical Monte Carlo (MC) approach \citep{rahimi2007random}, RQMC improves the…
Quantum computing is a promising way to systematically solve the longstanding computational problem, the ground state of a many-body fermion system. Many efforts have been made to realise certain forms of quantum advantage in this problem,…
Quantum computing is gaining attention as a new approach for solving complex problems in many scientific fields. In atmospheric and oceanic sciences, it may help reduce computational costs of simulating large and nonlinear systems. However,…
This paper discusses the compilation, optimization, and error mitigation of quantum algorithms, essential steps to execute real-world quantum algorithms. Quantum algorithms running on a hybrid platform with QPU and CPU/GPU take advantage of…
We propose a Monte Carlo algorithm designed to simulate quantum as well as classical systems at equilibrium, bridging the algorithmic gap between quantum and classical thermal simulation algorithms. The method is based on a novel…
Markov chain Monte Carlo algorithms have important applications in counting problems and in machine learning problems, settings that involve estimating quantities that are difficult to compute exactly. How much can quantum computers speed…