3 papers
q-fin.PM2026
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…
stat.CO2026
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…
q-fin.CP2026
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…