相关论文: Quantum Theory for the Binomial Model in Finance T…

We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of…

We present a random matrix model suitable for the quantum mechanical description of a particle confined to move inside a two-dimensional domain. Here, the ensemble average corresponds to an average over domain shapes. Although this approach…

Financial derivatives are contracts that can have a complex payoff dependent upon underlying benchmark assets. In this work, we present a quantum algorithm for the Monte Carlo pricing of financial derivatives. We show how the relevant…

This work introduces a novel approach to price rainbow options, a type of path-independent multi-asset derivatives, with quantum computers. Leveraging the Iterative Quantum Amplitude Estimation method, we present an end-to-end quantum…

We consider a billiard model of a self-bound, interacting three-body system in two spatial dimensions. Numerical studies show that the classical dynamics is chaotic. The corresponding quantum system displays spectral fluctuations that…

We propose a method to assess the intrinsic risk carried by a financial position $X$ when the agent faces uncertainty about the pricing rule assigning its present value. Our approach is inspired by a new interpretation of the quasiconvex…

We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving…

We construct the term structure of the (forward-looking, US market) equity risk premium from SPX option chains. The method is "model-light". Risk-neutral probability densities are estimated by fitting $N$-component Gaussian mixture models…

This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter…

The Bohmian quantum approach is implemented to analyze the financial markets. In this approach, there is a wave function that leads to a quantum potential. This potential can explain the relevance and entanglements of the agent's behaviors…

Collateralized debt obligation (CDO) has been one of the most commonly used structured financial products and is intensively studied in quantitative finance. By setting the asset pool into different tranches, it effectively works out and…

By repeated trials, one can determine the fairness of a classical coin with a confidence which grows with the number of trials. A quantum coin can be in a superposition of heads and tails and its state is most generally a density matrix.…

We consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the super-replication cost.…

In a recent paper [1], it has been claimed that the outcomes of a quantum coin toss which is idealized as an infinite binary sequence is 1-random. We also defend the correctness of this claim and assert that the outcomes of quantum…

The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a…

An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of…

A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.

Two-dimensional topological states of matter offer a route to quantum computation that would be topologically protected against the nemesis of the quantum circuit model: decoherence. Research groups in industry, government and academic…

Quantum game theory, whatever opinions may be held due to its abstract physical formalism, have already found various applications even outside the orthodox physics domain. In this paper we introduce the concept of a quantum auction, its…

The Group Quantization formalism is a scheme for constructing a functional space that is an irreducible infinite dimensional representation of the Lie algebra belonging to a dynamical symmetry group. We apply this formalism to the…