NEASQC webinar: Financial Application software repository and Quantum Quantitative Finance Library

Date: 6 February 2024
Time: 11:00-12:00 CET

NEASQC is organising a series of interactive webinars to share our findings with the quantum computing community. Each month NEASQC experts present an Open Source library available in the NEASQC GitHub or a technique they investigated, and answer your questions.

In February, we will present the NEASQC Financial Application software repository and Quantum Quantitative Finance Library, which are outcomes of our use case Financial Applications.

Abstract: The NEASQC Use Case 5 (UC5) works on the development and evaluation of quantum algorithms for financial applications. More specifically, the main line of research in UC5 focuses on Pricing of derivative products. This webinar will present the NEASQC Financial Application software repository and the Quantum Quantitative Finance Library (QQuantLib) that  gather different state of the art quantum algorithms and techniques proposed for this task in the framework of the financial industry. The QQuantLib library allows the user to compute prices of several derivative products using different state-of-the-art quantum algorithms in an easy way. Additionally, this library implements our two novel contributions to the price estimation problem: a new encoding algorithm and amplitude estimation algorithm (RQAE) that simplifies the problem of pricing of derivatives products with negative payoffs.

Speaker: Dr Gonzalo Ferro, CESGA

Gonzalo Ferro is senior project technician in the Applications and Projects department of CESGA, the Galician Supercomputing Centre. He holds a PhD in Physics and worked for several technological and research companies. Since 2021, he has been working at CESGA for the NEASQC project.

Related publications and Open Source libraries

• Financial application library v1.0 (GitHub)
• D5.4: Evaluation of quantum algorithms for pricing and computation of VaR
• Real quantum amplitude estimation (in EPJ Quantum Technology)