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Quantum computation for pricing the collateralized debt obligations

机译：量子计算定价抵押债务

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摘要

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 redistributes credit risks and returns to meet the risk preferences for different tranche investors. The copula models of various kinds are normally used for pricing CDOs, and the Monte Carlo simulations are required to get their numerical solution. Here we implement two typical CDO models, the single-factor Gaussian copula model and normal inverse Gaussian copula model, and by applying the conditional independence approach, we manage to load each model of distribution in quantum circuits. We then apply quantum amplitude estimation as an alternative to Monte Carlo simulation for CDO pricing. We demonstrate the quantum computation results using IBM Qiskit. Our work addresses a useful task in finance instrument pricing, significantly broadening the application scope for quantum computing in finance.
机译：债务抵押债券(CDO)最常用的结构化金融产品和深入研究定量金融学。成不同的部分,它有效地工作和重新分配信贷风险和回报满足不同部分的风险偏好投资者。通常用于定价cdo,蒙特卡洛模拟必须得到他们数值解。CDO模型、单因素高斯相关模型和正常逆高斯相关模型,并通过应用条件独立方法,我们管理加载的每个模型分布在量子电路。量子振幅估计代替蒙特卡罗模拟对CDO定价。使用证明了量子计算的结果IBM Qiskit。金融工具定价、显著为量子扩大应用范围计算金融。

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