A Survey on Quantum Computational Finance for Derivatives Pricing and VaR

Andres Gomez; Alvaro Leitao; Alberto ManzanoDaniele MussoMaria R. NogueirasGustavo OrdonezCarlos Vazquez

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A Survey on Quantum Computational Finance for Derivatives Pricing and VaR

机译：A Survey on Quantum Computational Finance for Derivatives Pricing and VaR

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We review the state of the art and recent advances in quantum computing applied to derivative pricing and the computation of risk estimators like Value at Risk. After a brief description of the financial derivatives, we first review the main models and numerical techniques employed to assess their value and risk on classical computers. We then describe some of the most popular quantum algorithms for pricing and VaR. Finally, we discuss the main remaining challenges for the quantum algorithms to achieve their potential advantages.

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《Archives of computational methods in engineering: State of the art reviews》 |2022年第6期|4137-4163|共27页
作者
Andres Gomez; Alvaro Leitao; Alberto ManzanoDaniele MussoMaria R. NogueirasGustavo OrdonezCarlos Vazquez;
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作者单位

Galician Supercomputing Center (CESGA), Santiago, Spain;

Department of Mathematics and CITIC, Universidade da Coruna, A Coruna, Spain;

Galician Supercomputing Center (CESGA), Santiago, Spain, Department of Physics and Instituto de Ciencias y Tecnologias Espaciales de Asturias (ICTEA), Oviedo University, Oviedo, SpainGlobal Risk Analytics, HSBC, London, UK;

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A Survey on Quantum Computational Finance for Derivatives Pricing and VaR

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