18 citations · 80 across the 19 of their papers we have counts for
19 papers
Energy risk analysis with Dynamic Amplitude Estimation and Piecewise Approximate Quantum Compiling
Kumar J. B. Ghosh, Kavitha Yogaraj, Gabriele Agliardi +6
We generalize the Approximate Quantum Compiling algorithm into a new method for CNOT-depth reduction, which is apt to process wide target quantum circuits. Combining this method wi…
Conditions for a quadratic quantum speedup in nonlinear transforms with applications to energy contract pricing
Gabriele Agliardi, Corey O'Meara, Kavitha Yogaraj +8
Computing nonlinear functions over multilinear forms is a general problem with applications in risk analysis. For instance in the domain of energy economics, accurate and timely ri…
Exchange option pricing under variance gamma-like models
Matteo Gardini, Piergiacomo Sabino
In this article we focus on the pricing of exchange options when the dynamic of logprices follows either the well-known variance gamma or the recent variance gamma++ process introd…
Efficient Simulation of -Tempered -Stable OU Processes
Michael Grabchak, Piergiacomo Sabino
We develop efficient methods for simulating processes of Ornstein-Uhlenbeck type related to the class of -tempered -stable ($\ts$) distributions. Our results hold for both th…
Normal Tempered Stable Processes and the Pricing of Energy Derivatives
Piergiacomo Sabino
In this study we consider the pricing of energy derivatives when the evolution of spot prices is modeled with a normal tempered stable driven Ornstein-Uhlenbeck process. Such proce…
Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type
Piergiacomo Sabino
In this study we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY driven Ornstein- Uhlenbeck process. To this end, w…