A Survey on Quantum Computational Finance for Derivatives Pricing and VaR
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A Survey on Quantum Computational Finance for Derivatives Pricing and VaRAutor(es)
Data
2022-10Cita bibliográfica
Gómez, A., Leitao, Á., Manzano, A. et al. A Survey on Quantum Computational Finance for Derivatives Pricing and VaR. Arch Computat Methods Eng 29, 4137–4163 (2022). https://doi.org/10.1007/s11831-022-09732-9
Resumo
[Abstract]: 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.
Palabras chave
Costs
Quantum computers
Quantum theory
Value engineering
Quantum computers
Quantum theory
Value engineering
Versión do editor
Dereitos
Atribución 3.0 España
ISSN
1134-3060