2 papers
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…
stat.AP2025
A Unified Micro-Model for Loss Reserves, IBNR and Unearned Premium Risk with Dependence, Inflation, and Discounting
Emmanuel Hamel, Anas Abdallah, Ghislain Léveillé
This paper introduces a unified micro-level stochastic framework for the joint modeling of loss reserves (RBNS), incurred but not reported (IBNR) reserves, and unearned premium ris…