债务抵押债券定价的量子计算
Quantum Computation for Pricing the Collateralized Debt Obligations
摘要：
债务抵押债券（CDO）是最常用的结构性金融产品之一，也是量化金融研究的热点。它通过将资产池划分为不同的份额，有效地计算和重新分配信用风险和收益，以满足不同份额投资者的风险偏好。CDO的定价通常采用各种Copula模型，需要通过蒙特卡罗模拟来获得其数值解。在这里，我们实现了两个典型的CDO模型，单因子高斯copula模型和正常的逆高斯copula模型，并通过应用条件独立的方法，我们设法加载量子电路中的分布的每个模型。然后，我们应用量子振幅估计作为替代蒙特卡罗模拟CDO定价。我们使用IBM Qiskit演示了量子计算结果。我们的工作解决了金融工具定价中的一个有用的任务，大大拓宽了量子计算在金融中的应用范围。
英文摘要：
Collateralized debt obligation (CDO) has been one of the most commonly used structured financial products and is intensively studied in quantitative finance. By setting the asset pool into different tranches, it effectively works out and redistributes credit risks and returns to meet the risk preferences for different tranche investors. The copula models of various kinds are normally used for pricing CDOs, and the Monte Carlo simulations are required to get their numerical solution. Here we implement two typical CDO models, the single-factor Gaussian copula model and Normal Inverse Gaussian copula model, and by applying the conditional independence approach, we manage to load each model of distribution in quantum circuits. We then apply quantum amplitude estimation as an alternative to Monte Carlo simulation for CDO pricing. We demonstrate the quantum computation results using IBM Qiskit. Our work addresses a useful task in finance instrument pricing, significantly broadening the application scope for quantum computing in finance.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
