A BBVA and Zapata Computing study shows the potential of quantum computing for derivative calculations
Monte Carlo simulations are widely used in the financial industry in everything, from policy making and risk assessment processes to financial product pricing calculations. “We wanted to understand whether quantum computing could help us improve how we approached these calculations, starting with a very specific problem that can be solved using Monte Carlo, such as the calculation of credit valuation adjustments”, said Andrea Cadarso. This project – led by Cadarso, head of Quantitative & Business Solutions, BBVA Mexico – is one of the research initiatives launched by the Research & Patents area of BBVA in 2019 to explore the potential applications of quantum computing in the financial sector.
As of today, establishing the valuation and pricing of certain derivative products remains a daunting task: “Finding the right price of...
