Related papers: Quantum Computing for Option Portfolio Analysis
We study the prediction of Value at Risk (VaR) for cryptocurrencies. In contrast to classic assets, returns of cryptocurrencies are often highly volatile and characterized by large fluctuations around single events. Analyzing a…
We combine the one-dimensional Monte Carlo simulation and the semi-analytical one-dimensional heat potential method to design an efficient technique for pricing barrier options on assets with correlated stochastic volatility. Our approach…
This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelets basis functions and…
Two-stage stochastic programming is a problem formulation for decision-making under uncertainty. In the first stage, the actor makes a best "here and now" decision in the presence of uncertain quantities that will be resolved in the future,…
This article proposes a Variational Quantum Algorithm to solve linear and nonlinear thermofluid dynamic transport equations. The hybrid classical-quantum framework is applied to problems governed by the heat, wave, and Burgers' equation in…
Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contains derivatives instruments. In this paper, we postpone to estimate…
The LIBOR Market Model (LMM) is a widely used model for pricing interest rate derivatives. While the Black-Scholes model is well-known for pricing stock derivatives such as stock options, a larger portion of derivatives are based on…
We present a quantum algorithm that analyzes risk more efficiently than Monte Carlo simulations traditionally used on classical computers. We employ quantum amplitude estimation to evaluate risk measures such as Value at Risk and…
Solving real-world optimization problems with quantum computing requires choosing between a large number of options concerning formulation, encoding, algorithm and hardware. Finding good solution paths is challenging for end users and…
This paper investigates the performance of the emerging non-variational Quantum Walk-based Optimisation Algorithm (NV-QWOA) for solving small instances of the Quadratic Assignment Problem (QAP). NV-QWOA is benchmarked against classical…
In this paper, we consider the nonconvex minimization problem of the value-at-risk (VaR) that arises from financial risk analysis. By considering this problem as a special linear program with linear complementarity constraints (a bilevel…
Optimizing Conditional Value-at-risk (CVaR) using policy gradient (a.k.a CVaR-PG) faces significant challenges of sample inefficiency. This inefficiency stems from the fact that it focuses on tail-end performance and overlooks many sampled…
It is known that quantum computers, if available, would allow an exponential decrease in the computational cost of quantum simulations. We extend this result to show that the computation of molecular properties (energy derivatives) could…
We introduce an optimisation method for variational quantum algorithms and experimentally demonstrate a 100-fold improvement in efficiency compared to naive implementations. The effectiveness of our approach is shown by obtaining…
We introduce two kinds of quantum algorithms to explore microcanonical and canonical properties of many-body systems. The first one is a hybrid quantum algorithm that, given an efficiently preparable state, computes expectation values in a…
In this work we present an alternative methodology to the standard Quantum Accelerated Monte Carlo (QAMC) applied to derivatives pricing. Our pipeline benefits from the combination of a new encoding protocol, referred to as the direct…
Quantum computers promise to efficiently solve important problems that are intractable on a conventional computer. For quantum systems, where the dimension of the problem space grows exponentially, finding the eigenvalues of certain…
This paper introduces a novel approach to financial risk assessment by incorporating topological data analysis (TDA), specifically cohomology groups, into the evaluation of equities portfolios. The study aims to go beyond traditional risk…
The valuation of over-the-counter derivatives is subject to a series of valuation adjustments known as xVA, which pose additional risks for financial institutions. Associated risk measures, such as the value-at-risk of an underlying…
In this paper we provide a quantum Monte Carlo algorithm to solve multidimensional Black-Scholes PDEs with correlation for option pricing. The payoff function of the option is of general form and is only required to be continuous and…