5 citations · 12 across the 5 of their papers we have counts for
7 papers · 1 filter
Quantum algorithm for calculating risk contributions in a credit portfolio
Koichi Miyamoto
Finance is one of the promising field for industrial application of quantum computing. In particular, quantum algorithms for calculation of risk measures such as the value at risk…
Pricing multi-asset derivatives by finite difference method on a quantum computer
Koichi Miyamoto, Kenji Kubo
Following the recent great advance of quantum computing technology, there are growing interests in its applications to industries, including finance. In this paper, we focus on der…
Bermudan option pricing by quantum amplitude estimation and Chebyshev interpolation
Koichi Miyamoto
Pricing of financial derivatives, in particular early exercisable options such as Bermudan options, is an important but heavy numerical task in financial institutions, and its spee…
Linear Regression by Quantum Amplitude Estimation and its Extension to Convex Optimization
Kazuya Kaneko, Koichi Miyamoto, Naoyuki Takeda +1
Linear regression is a basic and widely-used methodology in data analysis. It is known that some quantum algorithms efficiently perform least squares linear regression of an expone…
Quantum Speedup of Monte Carlo Integration with respect to the Number of Dimensions and its Application to Finance
Kazuya Kaneko, Koichi Miyamoto, Naoyuki Takeda +1
Monte Carlo integration using quantum computers has been widely investigated, including applications to concrete problems. It is known that quantum algorithms based on quantum ampl…
Quantum Pricing with a Smile: Implementation of Local Volatility Model on Quantum Computer
Kazuya Kaneko, Koichi Miyamoto, Naoyuki Takeda +1
Applications of the quantum algorithm for Monte Carlo simulation to pricing of financial derivatives have been discussed in previous papers. However, up to now, the pricing model d…