相关论文: Implementing Credit Risk Analysis with Quantum Sin…

Monte Carlo (MC) simulations are widely used in financial risk management, from estimating value-at-risk (VaR) to pricing over-the-counter derivatives. However, they come at a significant computational cost due to the number of scenarios…

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…

Quantum mechanics is well known to accelerate statistical sampling processes over classical techniques. In quantitative finance, statistical samplings arise broadly in many use cases. Here we focus on a particular one of such use cases,…

Risk measures are important key figures to measure the adequacy of the reserves of a company. The most common risk measures in practice are Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Recently, quantum-based algorithms are…

We present and analyze a quantum algorithm to estimate credit risk more efficiently than Monte Carlo simulations can do on classical computers. More precisely, we estimate the economic capital requirement, i.e. the difference between the…

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 Amplitude Estimation (QAE) can achieve a quadratic speed-up for applications classically solved by Monte Carlo simulation. A key requirement to realize this advantage is efficient state preparation. If state preparation is too…

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,…

Quantum singular value transformation (QSVT) is a framework that has been shown to unify many primitives in quantum algorithms. In this work, we leverage the QSVT framework in two directions. We first show that the QSVT framework can…

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…

Singular value thresholding (SVT) operation is a fundamental core module in many mathematical models in computer vision and machine learning, particularly for many nuclear norm minimizing-based problems. We presented a quantum SVT (QSVT)…

The Quantum Singular Value Transformation (QSVT) is a recent technique that gives a unified framework to describe most quantum algorithms discovered so far, and may lead to the development of novel quantum algorithms. In this paper we…

This work presents a quantum algorithm for solving linear systems of equations of the form $\mathbf{A}{\frac{\mathbf{\partial f}}{\mathbf{\partial x}}} = \mathbf{B}\mathbf{f}$, based on the Quantum Singular Value Transformation (QSVT). The…

We address the problem of solving a system of linear equations via the Quantum Singular Value Transformation (QSVT). One drawback of the QSVT algorithm is that it requires huge quantum resources if we want to achieve an acceptable accuracy.…

We generalize the Approximate Quantum Compiling algorithm into a new method for CNOT-depth reduction, which is apt to process wide target quantum circuits. Combining this method with state-of-the-art techniques for error mitigation and…

In recent years, quantum algorithms have been proposed which use quantum phase estimation (QPE) coherently as a subroutine without measurement. In order to do this effectively, the routine must be able to distinguish eigenstates with…

The problem of Phase Estimation (or Amplitude Estimation) admits a quadratic quantum speedup. Wang, Higgott and Brierley [2019, Phys. Rev. Lett. 122 140504] have shown that there is a continuous trade-off between quantum speedup and circuit…

Finance is one of the promising field for industrial application of quantum computing. In particular, quantum algorithms for calculation of risk measures such as the value at risk and the conditional value at risk of a credit portfolio have…

We investigate the feasibility of integrating quantum algorithms as subroutines of simulation-based optimisation problems with relevance to and potential applications in mathematical finance. To this end, we conduct a thorough analysis of…

In this paper, we introduce a quantum-enhanced algorithm for simulation-based optimization. Simulation-based optimization seeks to optimize an objective function that is computationally expensive to evaluate exactly, and thus, is…