Towards Pricing Financial Derivatives with an IBM Quantum Computer.

@article{Martin2019TowardsPF,
  title={Towards Pricing Financial Derivatives with an IBM Quantum Computer.},
  author={Ana Martin and Bruno Candelas and 'Angel Rodr'iguez-Rozas and Jos'e D. Mart'in-Guerrero and X. Chen and L. Lamata and Rom'an Or'us and E. Solano and M. Sanz},
  journal={arXiv: Quantum Physics},
  year={2019}
}
Pricing interest-rate financial derivatives is a major problem in finance, in which it is crucial to accurately reproduce the time-evolution of interest rates. Several stochastic dynamics have been proposed in the literature to model either the instantaneous interest rate or the instantaneous forward rate. A successful approach to model the latter is the celebrated Heath-Jarrow-Morton framework, in which its dynamics is entirely specified by volatility factors. On its multifactor version, this… Expand
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