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A Survey on Quantum Computational Finance for Derivatives Pricing and VaR
| dc.contributor.author | Gómez, Andrés | |
| dc.contributor.author | Leitao, Álvaro | |
| dc.contributor.author | Manzano, Alberto | |
| dc.contributor.author | Musso, Daniele | |
| dc.contributor.author | Nogueiras, María R. | |
| dc.contributor.author | Ordóñez, Gustavo | |
| dc.contributor.author | Vázquez, Carlos | |
| dc.date.accessioned | 2023-03-31T19:08:20Z | |
| dc.date.available | 2023-03-31T19:08:20Z | |
| dc.date.issued | 2022-10 | |
| dc.identifier.citation | 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 | es_ES |
| dc.identifier.issn | 1134-3060 | |
| dc.identifier.uri | http://hdl.handle.net/2183/32821 | |
| dc.description.abstract | [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. | es_ES |
| dc.description.sponsorship | Xunta de Galicia; ED431G 2019/01 | es_ES |
| dc.description.sponsorship | All authors acknowledge the European Project NExt ApplicationS of Quantum Computing (NEASQC), funded by Horizon 2020 Program inside the call H2020-FETFLAG-2020-01 (Grant Agreement 951821). Á. Leitao, A. Manzano and C. Vázquez wish to acknowledge the support received from the Centro de Investigación de Galicia “CITIC”, funded by Xunta de Galicia and the European Union (European Regional Development Fund- Galicia 2014-2020 Program), by Grant ED431G 2019/01. | es_ES |
| dc.language.iso | eng | es_ES |
| dc.publisher | Springer | es_ES |
| dc.relation | info:eu‐repo/grantAgreement/EC/H2020/951821 | es_ES |
| dc.relation.uri | https://doi.org/10.1007/s11831-022-09732-9 | es_ES |
| dc.rights | Atribución 3.0 España | es_ES |
| dc.rights.uri | http://creativecommons.org/licenses/by/3.0/es/ | * |
| dc.subject | Costs | es_ES |
| dc.subject | Quantum computers | es_ES |
| dc.subject | Quantum theory | es_ES |
| dc.subject | Value engineering | es_ES |
| dc.title | A Survey on Quantum Computational Finance for Derivatives Pricing and VaR | es_ES |
| dc.type | info:eu-repo/semantics/article | es_ES |
| dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
| UDC.journalTitle | Archives of computational methods in engineering | es_ES |
| UDC.volume | 29 | es_ES |
| UDC.issue | 6 | es_ES |
| UDC.startPage | 4137 | es_ES |
| UDC.endPage | 4163 | es_ES |
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