The recent development of quantum computing gives us an opportunity to explore its potential applications to many fields, with the field of finance being no exception. In this paper, we apply the deep quantum neural network proposed by Beer et al. (2020) and discuss such potential in the context of simple experiments, such as learning implied volatilities and option prices. Furthermore, Greeks, such as delta and gamma, which are important measures in risk management, can be computed analytically with the neural network, and our numerical experiments show that the deep quantum neural network is a promising technique for solving such numerical problems arising in finance.
The recent development of quantum computing gives us an opportunity to explore its potential applications to many fields, with the field of finance being no exception. In this paper, we apply the deep quantum neural network proposed by Beer et al. (2020) and discuss such potential in the context of simple experiments, such as learning implied volatilities and option prices. Furthermore, Greeks, such as delta and gamma, which are important measures in risk management, can be computed analytically with the neural network, and our numerical experiments show that the deep quantum neural network is a promising technique for solving such numerical problems arising in finance.
We discuss how quantum computation can be applied to financial problems, providing an overview of current approaches and potential prospects. We review quantum optimization algorithms, and expose how quantum annealers can be used to optimize portfolios, find arbitrage opportunities, and perform credit scoring. We also discuss deep-learning in finance, and suggestions to improve these methods through quantum machine learning. Finally, we consider quantum amplitude estimation, and how it can result in a quantum speed-up for Monte Carlo sampling. This has direct applications to many current financial methods, including pricing of derivatives and risk analysis. Perspectives are also discussed.
Abstract This review paper examines state-of-the-art algorithms and techniques in quantum machine learning (QML) with potential applications in finance. We discuss QML techniques in supervised learning tasks, such as quantum variational classifiers, quantum Kernel estimation, and quantum neural networks, along with quantum generative AI techniques like quantum transformers and quantum graph neural networks. The financial applications considered include risk management, credit scoring, fraud detection, and stock price prediction. We also provide an overview of the challenges, potential, and limitations of QML, both in these specific areas and more broadly across the field. We hope that this can serve as a quick guide for data scientists, professionals in the financial sector, and enthusiasts in this area to understand why quantum computing and QML in particular could be interesting to explore in their field of expertise.
The application of quantum computing to finance has become an increasingly active area of research. In this paper, we explore the expressive potential of quantum machine learning as an alternative to classical differential machine learning. Efficient computation of sensitivities remains the main issue in financial risk management and we discuss how parameter-shift rules used in gradient-based optimization of quantum machine learning help learning option prices and their sensitivities efficiently. The proposed method can be regarded as quantum analogous to classical differential machine learning, so we refer to it as quantum differential machine learning. Delta of European option and vega of Bermudan swaption as examples of learning in parametric space and delta of basket option as an example of learning in sample space are examined in numerical experiments. Our results show that our proposed method paves the way for using quantum machine learning for option pricing and sensitivity calculation in financial risk management.
Quantum computers can solve specific problems that are not feasible on "classical" hardware. Harvesting the speed-up provided by quantum computers therefore has the potential to change any industry which uses computation, including finance. First quantum applications for the financial industry involving optimization, simulation, and machine learning problems have already been proposed and applied to use cases such as portfolio management, risk management, and pricing derivatives. This survey reviews platforms, algorithms, methodologies, and use cases of quantum computing for various applications in finance in a structured way. It is aimed at people working in the financial industry and serves to gain an overview of the current development and capabilities and understand the potential of quantum computing in the financial industry.
The last few decades have seen significant breakthroughs in the fields of deep learning and quantum computing. Research at the junction of the two fields has garnered an increasing amount of interest, which has led to the development of quantum deep learning and quantum-inspired deep learning techniques in recent times. In this work, we present an overview of advances in the intersection of quantum computing and deep learning by discussing the technical contributions, strengths and similarities of various research works in this domain. To this end, we review and summarise the different schemes proposed to model quantum neural networks (QNNs) and other variants like quantum convolutional networks (QCNNs). We also briefly describe the recent progress in quantum inspired classic deep learning algorithms and their applications to natural language processing.
In a global derivatives market with notional values in the hundreds of trillions of dollars, the accuracy and efficiency of pricing models are of fundamental importance, with direct implications for risk management, capital allocation, and regulatory compliance. In this work, we employ the Black-Scholes-Merton (BSM) framework not as an end in itself, but as a controlled benchmark environment in which to rigorously assess the capabilities of quantum machine learning methods.
We propose a fully quantum approach to option pricing based on Quantum Neural Networks (QNNs), and, to the best of our knowledge, present one of the first implementations of such a methodology on currently available quantum hardware. Specifically, we investigate whether QNNs, by exploiting the geometric structure of Hilbert space, can effectively approximate option pricing functions.
Our implementation utilizes a compact 2-qubit QNN architecture evaluated across multiple state-of-the-art quantum processors, including IBM Fez, IQM Garnet, IonQ Forte, and Rigetti Ankaa-3. This cross-platform study reveals distinct hardware-dependent performance characteristics while demonstrating that accurate pricing approximations can be achieved consistently across different devices despite the constraints of Noisy Intermediate-Scale Quantum (NISQ) hardware.
The results provide empirical evidence that QNN-based approaches constitute a viable framework for derivative pricing. While the analysis is conducted within the BSM setting, the broader significance lies in the potential extension of these methods to more realistic and computationally demanding models, including local volatility, stochastic volatility, and interest rate frameworks commonly used in practice.