5 papers
QUBO-Based Calibration for Regression Trees
Iro René Kouarfate, Maxime Dion, Anne MacKay +1
Tree-based regression models are widely used in supervised learning, with the Classification and Regression Tree (CART) algorithm serving as a standard reference. CART construction…
Mean-Variance Optimization in Ambiguous Financial Markets with Learning
Nicole Bäuerle, Anne MacKay
We consider a continuous time investment problem in a multi-asset Black-Scholes market with the following features: The assets' drifts are not known and constitute a source of mode…
Pricing Lookback Options on a Quantum Computer
Florence Paquette, Tania Belabbas, Emmanuel Hamel +1
We develop a quantum algorithm to price discretely monitored lookback options in the Black-Scholes framework using imaginary time evolution. By rewriting the pricing PDE as a Schro…
On an Optimal Stopping Problem with a Discontinuous Reward
Anne Mackay, Marie-Claude Vachon
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract wi…
A Unifying Approach for the Pricing of Debt Securities
Marie-Claude Vachon, Anne Mackay
We propose a unifying framework for the pricing of debt securities under general time-inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options, callable/put…