no code implementations • 11 Nov 2023 • Antoine Jacquier, Oleksiy Kondratyev, Gordon Lee, Mugad Oumgari
Quantum computing has recently appeared in the headlines of many scientific and popular publications.
no code implementations • 26 Jul 2023 • Antoine Jacquier, Mugad Oumgari
The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of convexity adjustment, derive explicit formulae for it.
no code implementations • 5 Dec 2019 • Filipe Fontanela, Antoine Jacquier, Mugad Oumgari
We propose a hybrid quantum-classical algorithm, originated from quantum chemistry, to price European and Asian options in the Black-Scholes model.
no code implementations • 6 Jun 2019 • Antoine Jacquier, Mugad Oumgari
We introduce a new deep-learning based algorithm to evaluate options in affine rough stochastic volatility models.
