JuliaCon 2023

Quantum Monte Carlo in Julia.
07-26, 10:15–10:45 (US/Eastern), Online talks and posters

Quantum computing may be the technology that will change the financial industry. One of the potential use cases for quantum computers is derivative instrument pricing, this is a computationally demanding task with proven quadratic speed-up on the quantum machine.

The goal of the talk is to show how to do this using Julia's library QuantumCircuits.jl.

I will start with an introduction to quantum computing with a focus on why this will be a breakthrough technology. Next, I will introduce the base of financial mathematics for derivative pricing. In fallow part, I will show the QuantumCircuits.jl library and how we can use it to perform quantum computation in Julia.

Then I introduce the Monte Carlo method in finance, and how we can harness the power of quantum computing to speed up the calculation. Next, a detailed description of the Quantum algorithm for pricing options on gates-base quantum computers will be presented.

The last part will cover the implementation of the algorithm in Julia.

Rafał Pracht is an experienced Software Architect in the financial industry. During his career, he participated in many projects in the finance area in Poland, the UK, France, Mideast, and eastern Europe. Since 2018 he is passionate about quantum computing, and he participated in courses at MIT, ETH Zurich, and the University of Toronto on that topic. He is one of the 360 Qiskit advocates (https://qiskit.org/advocates/), the group of the finest minds in quantum computing, worldwide. Currently, he is doing quantum research for the financial industry at BNP Paribas Bank Polska SA.