3 papers
quant-ph2026
Quantum Annealing for Dynamic Portfolio Optimization under Realistic Transaction Costs
Escolástico Sánchez-Martínez, Senaida Hernandez Santana, Ventura Sarasa Laborda +3
This paper investigates and compares quantum and classical investment strategies for portfolio construction under realistic trading and allocation constraints. The study considers…
q-fin.CP2023
Application of Tensor Neural Networks to Pricing Bermudan Swaptions
Raj G. Patel, Tomas Dominguez, Mohammad Dib +12
The Cheyette model is a quasi-Gaussian volatility interest rate model widely used to price interest rate derivatives such as European and Bermudan Swaptions for which Monte Carlo s…
quant-ph2023
Multiobjective variational quantum optimization for constrained problems: an application to Cash Management
Pablo Díez-Valle, Jorge Luis-Hita, Senaida Hernández-Santana +6
Combinatorial optimization problems are ubiquitous in industry. In addition to finding a solution with minimum cost, problems of high relevance involve a number of constraints that…