The debate about quantum hype rages on, with some in the industry claiming significant milestones already and some criticizing claims of progress as too much hype. The most common question is still, “How long until quantum customers see real business advantage from quantum algorithms and hardware?”
Crédit Agricole CIB, Multiverse Computing and Pasqal recently announced results of two proof-of-concept projects that show progress is real. By using clever algorithms from Multiverse and Pasqal’s neutral atom platform, CACIB has found business advantage with quantum computing. At the center of these two projects are real business problems: predicting changes in credit worthiness and pricing derivatives.
These projects push the boundaries of what is possible with quantum and quantum-inspired solutions. In this post, I will share extra information and takeaways from both projects.
Valuation of derivatives in finance
Partial differential equations (PDE) and high-dimensional stochastic differential equations (SDE) are powerful tools used to model a range of physical phenomena. There are also significant applications in finance. The solutions of some SDEs set the price of some derivatives as well as their sensitivities to external parameters.
Although closed formulas exist for some derivatives, solving SDE for complex derivatives or in high-dimensional spaces can be extremely challenging, even with advanced analytical methods. Recent research focuses on neural networks (NN) to overcome the limitations of other traditional analytical methods. The idea is to look for a NN to represent a derivative’s price function which solves the underlying SDE. The advantage here is that once a NN is trained, the price computation becomes instantaneous.
Training neural networks can require massive amounts of time and compute resources. QC is a potential solution, but the current hardware is limited in its capabilities. However, we do have a complementary approach that combines quantum calculations and classical computers and allows us to reach a real business advantage.
We can do this by exploiting the power of the mathematical and diagrammatical formalism of tensor networks (TN). Multiverse is the world’s leading expert in this field.
Read full article by Michel Kurek, CEO Multiverse Computing, France, here.