Financial applications

Financial institutions are starting to increase their focus on the potential for disruption that breakthroughs in Quantum Computing (QC) technology promise to deliver.

Partners.

Due to their step change in computational power, quantum computers could bring unparalleled competitive advantage to financial companies in areas like portfolio optimisation, option pricing, quantitative risk management or even accelerating the training of Machine Learning models. Furthermore, financial institutions often use complex mathematical models which are usually analytically intractable and rely on heavily time-consuming computer simulations, and in addition, the industry has to cope with ever increasing data volumes.

The aim of this use case is to develop efficient algorithms that could either substitute or redefine Monte Carlo (MC) techniques in NISQ computers. These new algorithms could be used to significantly increase the efficiency of 

  • derivative pricing (possibly in combination with regression techniques as described further below); 
  • risk management models (e.g. fast estimation of Value-at-Risk – VaR or Expected Shortfall – ES, as well as its attribution and sensitivities); 
  • hybrid discrete-continuous optimization problems and 
  • exploring quantum implementation of Principal Component Analysis (PCA). 

We will explore how advances in these areas will impact areas such as portfolio and liquidity management (including funding costs), estimation of economic capital and interest rates modelling.

Our webinars so far

06/02/2024 Financial Application Software repository & Quantum Quantitative Finance Library

Our website uses cookies to give you the most optimal experience online by: measuring our audience, understanding how our webpages are viewed and improving consequently the way our website works, providing you with relevant and personalized marketing content. You have full control over what you want to activate. You can accept the cookies by clicking on the “Accept all cookies” button or customize your choices by selecting the cookies you want to activate. You can also decline all cookies by clicking on the “Decline all cookies” button. Please find more information on our use of cookies and how to withdraw at any time your consent on our privacy policy.
Accept all cookies
Decline all cookies
Privacy Policy