4 papers
A new approach to rating scale definition with quantum-inspired optimization
Patrizio Spada, Laura Cappelli, Francesca Cibrario +7
In finance, assessing the creditworthiness of loan applicants requires lenders to cluster borrowers using rating scales. Financial institutions must define the scales in compliance…
Quantum Reservoir Computing for Credit Card Default Prediction on a Neutral Atom Platform
Giacomo Vitali, Chiara Vercellino, Paolo Viviani +9
In this paper, we define and benchmark a hybrid quantum-classical machine learning pipeline by performing a binary classification task applied to a real-world financial use case. S…
Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading
Francesca Cibrario, Ron Cohen, Emanuele Dri +8
We present a comprehensive quantum algorithm tailored for pricing autocallable options, offering a full implementation and experimental validation. Our experiments include simulati…
Quantum Amplitude Loading for Rainbow Options Pricing
Francesca Cibrario, Or Samimi Golan, Giacomo Ranieri +7
This work introduces a novel approach to price rainbow options, a type of path-independent multi-asset derivatives, with quantum computers. Leveraging the Iterative Quantum Amplitu…