English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

Collateralized debt obligation (CDO) has been one of the most commonly usedstructured financial products and is intensively studied in quantitativefinance. By setting the asset pool into different tranches, it effectivelyworks out and redistributes credit risks and returns to meet the riskpreferences for different tranche investors. The copula models of various kindsare normally used for pricing CDOs, and the Monte Carlo simulations arerequired to get their numerical solution. Here we implement two typical CDOmodels, the single-factor Gaussian copula model and Normal Inverse Gaussiancopula model, and by applying the conditional independence approach, we manageto load each model of distribution in quantum circuits. We then apply quantumamplitude estimation as an alternative to Monte Carlo simulation for CDOpricing. We demonstrate the quantum computation results using IBM Qiskit. Ourwork addresses a useful task in finance instrument pricing, significantlybroadening the application scope for quantum computing in finance.

Quantum Computation for Pricing the Collateralized Debt Obligations