4 papers
Signature-based identification of volatility models from path geometry
Òscar Burés, Rafael De Santiago
We propose a signature-based framework for the identification of stochastic volatility model classes from observed path data. By mapping volatility trajectories into a feature spac…
Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
Elisa Alòs, Òscar Burés, Rafael de Santiago +1
We study two complementary methodologies for calibrating implied volatility surfaces: analytical approximations and data-driven models based on rough path theory. On the analytical…
Implementing a Quantum Finite Automaton in IBMQ using Custom Control Pulses
Eduardo Willwock Lussi, Lucas Cavalcante de Sousa, Jerusa Marchi +2
Quantum finite automata can be used for pattern recognition. Present implementations on actual quantum devices face decoherence issues, which compromise the quality of long strings…
Optimizing Gate Decomposition for High-Level Quantum Programming
Evandro C. R. Rosa, Eduardo I. Duzzioni, Rafael de Santiago
This paper presents novel methods for optimizing multi-controlled quantum gates, which naturally arise in high-level quantum programming. Our primary approach involves rewriting $U…