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We introduce a quantum algorithm to compute the market risk of financial derivatives.
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A. G. Fowler and C. Gidney, “Low overhead quantum computation using lattice surgery,” (2019), 10.48550/arXiv.1808.06709
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D. J. Egger, R. G. Gutierrez, J. C. Mestre, and S. Woerner, “Credit risk analysis using quantum computers,” IEEE Transactions on Computers (2020), 10.1109/TC.2020.3038063
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N. Stamatopoulos, D. J. Egger, Y. Sun, C. Zoufal, R. Iten, N. Shen, and S. Woerner, “Option pricing using quantum computers,” Quantum 4
2020
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Y. Suzuki, S. Uno, R. Raymond, T. Tanaka, T. Onodera, and N. Yamamoto, “Amplitude estimation without phase estimation,” Quantum Information Processing 19
2020
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2018
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S. Woerner and D. J. Egger, “Quantum risk analysis,” npj Quantum Information 5
2019
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A. Gilyén, S. Arunachalam, and N. Wiebe, “Optimizing quantum optimization algorithms via faster quantum gradient computation,” Proceedings of the Thirtieth Annual ACM-SIAM Symposium on Discrete Algorithms , 1425–1444 (2019)
2019
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G. H. Low and I. L. Chuang, “Hamiltonian simulation by qubitization,” Quantum 3
2019
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A. Gilyén, Y. Su, G. H. Low, and N. Wiebe, “Quantum singular value transformation and beyond: exponential improvements for quantum matrix arithmetics,” in Proceedings of the 51st Annual ACM SIGACT Symposium on Theory of Computing (2019) pp. 193–204
2019
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S. Chakrabarti, R. Krishnakumar, G. Mazzola, N. Stamatopoulos, S. Woerner, and W. J. Zeng, “A threshold for quantum advantage in derivative pricing,” Quantum 5
2021
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J. M. Martyn, Y. Liu, Z. E. Chin, and I. L. Chuang, “Efficient fully-coherent hamiltonian simulation,” (2021), 10.48550/arXiv.2110.11327
2021
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T. Tanaka, Y. Suzuki, S. Uno, R. Raymond, T. Onodera, and N. Yamamoto, “Amplitude estimation via maximum likelihood on noisy quantum computer,” Quantum Information Processing 20
2021
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D. Grinko, J. Gacon, C. Zoufal, and S. Woerner, “Iterative quantum amplitude estimation,” npj Quantum Information 7
2021
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