A BBVA and Zapata Computing study shows the potential of quantum computing for derivative calculations Share
BBVA and U.S. based startup Zapata Computing have just released the results of a research project into the use of quantum algorithms applied to the Monte Carlo method, which allows predicting the evolution of different variables under random conditions. Despite its potential, the use of this technology for achieving a more efficient way of calculating prices of derivative products and making valuation adjustments will still require further developments in the available hardware.
Monte Carlo simulations are widely used in the financial industry in everything, from policy making and risk assessment processes to financial product pricing calculations. “We wanted to understand whether quantum computing could help us improve how we approached these calculations, starting with a very specific problem that can be solved using Monte Carlo, such as the calculation of