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Triangle Quantum Computing Seminar Series Jan. 28
January 28, 2022 @ 2:00 pm - 3:00 pm
Join Today’s Duke, NC State and UNC’s collaborative Triangle Quantum Computing Seminar
Talk Title:Towards Quantum Advantage in Financial Market Risk using Quantum Gradient Algorithms
Speaker: Nikitas Stamatopoulos, Vice President in the R&D Engineering Division at Goldman Sachs
Hosted by: UNC Kenan-Flagler’s Rethinc. Labs
Abstract:
Previous work has shown that quantum amplitude estimation can accelerate derivative pricing quadratically in the target error and with his team Stamatopoulos extends this to a quadratic error scaling advantage in market risk computation. They show that employing quantum gradient estimation algorithms can deliver a further quadratic advantage in the number of the associated market sensitivities, usually called greeks. By numerically simulating the quantum gradient estimation algorithms on financial derivatives of practical interest, they demonstrate that not only can we successfully estimate the greeks in the examples studied, but that the resource requirements can be significantly lower in practice than what is expected by theoretical complexity bounds. This additional advantage in the computation of financial market risk lowers the estimated logical clock rate required for financial quantum advantage from Chakrabarti et al. [Quantum 5, 463 (2021)] by a factor of 50, from 50MHz to 1MHz, even for a modest number of greeks by industry standards (four). Moreover, they show that if we have access to enough resources, the quantum algorithm can be parallelized across 30 QPUs for the same overall runtime as the serial execution if the logical clock rate of each device is ~30kHz, same order of magnitude as the best current estimates of feasible target clock rates of around 10kHz. Throughout this work, they summarize and compare several different combinations of quantum and classical approaches that could be used for computing the market risk of financial derivatives.
This is a Hybrid Event with NC State.
The In Person location for NC State is Venture Place, 2nd Floor, Large Classroom.
REGISTRATION: Form Link
For more information email: quantumcomputing@ncsu.edu