A Survey on Quantum Computational Finance for Derivatives Pricing and VaR

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UDC.coleccionInvestigaciónes_ES
UDC.departamentoMatemáticases_ES
UDC.endPage4163es_ES
UDC.grupoInvModelos e Métodos Numéricos en Enxeñaría e Ciencias Aplicadas (M2NICA)es_ES
UDC.issue6es_ES
UDC.journalTitleArchives of computational methods in engineeringes_ES
UDC.startPage4137es_ES
UDC.volume29es_ES
dc.contributor.authorGómez Tato, Andrés
dc.contributor.authorLeitao, Álvaro
dc.contributor.authorManzano, Alberto
dc.contributor.authorMusso, Daniele
dc.contributor.authorNogueiras, María R.
dc.contributor.authorOrdóñez, Gustavo
dc.contributor.authorVázquez, Carlos
dc.date.accessioned2023-03-31T19:08:20Z
dc.date.available2023-03-31T19:08:20Z
dc.date.issued2022-10
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.sponsorshipXunta de Galicia; ED431G 2019/01es_ES
dc.description.sponsorshipAll 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.identifier.citationGómez, 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/s11831-022-09732-9es_ES
dc.identifier.issn1134-3060
dc.identifier.urihttp://hdl.handle.net/2183/32821
dc.language.isoenges_ES
dc.publisherSpringeres_ES
dc.relation.projectIDinfo:eu‐repo/grantAgreement/EC/H2020/951821es_ES
dc.relation.urihttps://doi.org/10.1007/s11831-022-09732-9es_ES
dc.rightsAtribución 3.0 Españaes_ES
dc.rights.accessRightsopen accesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/es/*
dc.subjectCostses_ES
dc.subjectQuantum computerses_ES
dc.subjectQuantum theoryes_ES
dc.subjectValue engineeringes_ES
dc.titleA Survey on Quantum Computational Finance for Derivatives Pricing and VaRes_ES
dc.typejournal articlees_ES
dspace.entity.typePublication
relation.isAuthorOfPublication537a5f9b-4679-4e65-bfa5-c15d90d5ac1c
relation.isAuthorOfPublicationdbc2be8e-6741-46b3-a22e-b648eae643d4
relation.isAuthorOfPublication.latestForDiscovery537a5f9b-4679-4e65-bfa5-c15d90d5ac1c

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