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SUMMARY:Quantum algorithms for pricing derivatives
DTSTART:20231129T151500
DTEND:20231129T161500
DTSTAMP:20260430T074932Z
UID:a6c23b5b96b744526a9c5cda6709887ecb7c544b308d068cfe11c09c
CATEGORIES:Conferences - Seminars
DESCRIPTION:Alessandro Luongo (https://www.quantumlah.org/people/profile/L
 -Alessandro)\nComputational Mathematics Seminar\nAbstract: We present new 
 quantum algorithms for pricing financial derivatives in both single-period
  and multi-period financial markets. In the context of single-period marke
 ts we introduce three distinct algorithms. The initial two methods leverag
 e a linear program-based formulation of the pricing problem\, employing th
 e quantum zero-sum game algorithm and the quantum simplex algorithm as ess
 ential subroutines. The third algorithm introduces a novel market assumpti
 on\, which\, while less stringent than market completeness (which is a sta
 ndard assumption in many market models)\, enables the application of quant
 um linear systems solvers\, potentially leading to significant speedups. 
  For multi period markets we discuss a quantum version for the famous leas
 t-squares Monte Carlo (LSM) algorithm. Our algorithm achieves a nearly qua
 dratic speedup in the runtime compared to the LSM algorithm under some mil
 d assumptions. Our quantum algorithm can be applied to American option pri
 cing\, and we analyze a case study for the common situation of Brownian mo
 tion and geometric Brownian motion processes. Based on: https://arxiv.or
 g/abs/2111.15332 and https://arxiv.org/abs/2209.08867 .
LOCATION:MA B2 485 https://plan.epfl.ch/?room==MA%20B2%20485
STATUS:CONFIRMED
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