相关论文: Quantum Finance: The Finite Dimensional Case

In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry. Conversely, financial questions have stimulated new research directions in probability.…

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…

Quantum theory provides a comprehensive framework for quantifying uncertainty, often applied in quantum finance to explore the stochastic nature of asset returns. This perspective likens returns to microscopic particle motion, governed by…

We introduce a new tool for predicting the evolution of an option for the cases where at some specific time, there is a high-degree of uncertainty for identifying its price. We work over the special case where we can predict the evolution…

Previously only considered a frontier area of Physics, nowadays quantum computing is one of the fastest growing research field, precisely because of its technological applications in optimization problems, machine learning, information…

We continue the analysis of quantum-like description of markets and economics. The approach has roots in the recently developed quantum game theory and quantum computing. The present paper is devoted to quantum English auction which are a…

Recent development in quantum computation and quantum information theory allows to extend the scope of game theory for the quantum world. The authors have recently proposed a quantum description of financial market in terms of quantum game…

We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of…

We consider an incomplete multi-asset binomial market model. We prove that for a wide class of contingent claims the extremal multi-step martingale measure is a power of the corresponding single-step extremal martingale measure. This allows…

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…

We propose a quantum-like description of markets and economics. The approach has roots in the recently developed quantum game theory.

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…

Quantum computing has recently appeared in the headlines of many scientific and popular publications. In the context of quantitative finance, we provide here an overview of its potential.

Quantum computers can solve specific problems that are not feasible on "classical" hardware. Harvesting the speed-up provided by quantum computers therefore has the potential to change any industry which uses computation, including finance.…

Following the recent great advance of quantum computing technology, there are growing interests in its applications to industries, including finance. In this paper, we focus on derivative pricing based on solving the Black-Scholes partial…

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…

This article outlines our point of view regarding the applicability, state-of-the-art, and potential of quantum computing for problems in finance. We provide an introduction to quantum computing as well as a survey on problem classes in…

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…

Quantum computers are expected to surpass the computational capabilities of classical computers and have a transformative impact on numerous industry sectors. We present a comprehensive summary of the state of the art of quantum computing…

In finance, assessing the creditworthiness of loan applicants requires lenders to cluster borrowers using rating scales. Financial institutions must define the scales in compliance with strict institutional constraints, resulting in solving…