相关论文: Quantum Computational Algorithms for Derivative Pr…

The continuous time stochastic process is a mainstream mathematical instrument modeling the random world with a wide range of applications involving finance, statistics, physics, and time series analysis, while the simulation and analysis…

Financial derivative pricing is a significant challenge in finance, involving the valuation of instruments like options based on underlying assets. While some cases have simple solutions, many require complex classical computational methods…

The financial sector is anticipated to be one of the first industries to benefit from the increased computational power of quantum computers, in areas such as portfolio optimisation and risk management to financial derivative pricing.…

We introduce two quantum algorithms to compute the Value at Risk (VaR) and Conditional Value at Risk (CVaR) of financial derivatives using quantum computers: the first by applying existing ideas from quantum risk analysis to derivative…

We develop quantum algorithms for pricing Asian and barrier options under the Heston model, a popular stochastic volatility model, and estimate their costs, in terms of T-count, T-depth and number of logical qubits, on instances under…

The quantum critical regime marks a zone in the phase diagram where quantum fluctuation around the critical point plays a significant role at finite temperatures. While it is of great physical interest, simulation of the quantum critical…

This paper shows a novel way of simulating a Markov process by a quantum computer. The main purpose of the paper is to show a particular application of quantum computing in the field of stochastic processes analysis. Using a Quantum…

Recent advances in quantum computing have demonstrated its potential to significantly enhance the analysis and forecasting of complex classical data. Among these, quantum reservoir computing has emerged as a particularly powerful approach,…

The present paper describes a practical example in which the probability distribution of the prices of a stock market blue chip is calculated as the wave function of a quantum particle confined in a potential well. This model may naturally…

We introduce a quantum algorithm to compute the market risk of financial derivatives. Previous work has shown that quantum amplitude estimation can accelerate derivative pricing quadratically in the target error and we extend this to a…

Probabilistic graphical models such as Bayesian networks are widely used to model stochastic systems to perform various types of analysis such as probabilistic prediction, risk analysis, and system health monitoring, which can become…

In recent years, a CRA (Credit Risk Analysis) quantum algorithm with a quadratic speedup over classical analogous methods has been introduced. We propose a new variant of this quantum algorithm with the intent of overcoming some of the most…

Quantum computers are expected to contribute more efficient and accurate ways of modeling economic processes. Quantum hardware is currently available at a relatively small scale, but effective algorithms are limited by the number of logic…

Quantum state preparation is vital in quantum computing and information processing. The ability to accurately and reliably prepare specific quantum states is essential for various applications. One of the promising applications of quantum…

Pricing a multi-asset derivative is an important problem in financial engineering, both theoretically and practically. Although it is suitable to numerically solve partial differential equations to calculate the prices of certain types of…

Recent years have seen unprecedented advance in the design and control of quantum computers. Nonetheless, their applicability is still restricted and access remains expensive. Therefore, a substantial amount of quantum algorithms research…

This paper describes an approach to economics that is inspired by quantum computing, and is motivated by the need to develop a consistent quantum mathematical framework for economics. The traditional neoclassical approach assumes that…

Quantum computers are expected to surpass the computational capabilities of classical computers during this decade and have transformative impact on numerous industry sectors, particularly finance. In fact, finance is estimated to be the…

Quantum computing is expected to have transformative influences on many domains, but its practical deployments on industry problems are underexplored. We focus on applying quantum computing to operations management problems in industry, and…

Stochastic volatility models are the backbone of financial engineering. We study both continuous time diffusions as well as discrete time models. We propose two novel approaches to estimating stochastic volatility diffusions, one using…