(The Virtual) January 26, 2021 NYC Quantum Computing Meetup

Our first speaker of 2021 is Nikitas Stamatopoulos from Goldman Sachs.

Abstract

In this talk I will describe the results and methods used to perform the first end-to-end rigorous resource estimation for quantum advantage in financial derivative pricing, as presented in https://arxiv.org/abs/2012.03819 in a collaboration between Goldman Sachs and IBM. In this paper, we focus on the number of qubits and T-depth required to price derivative contracts of practical interest in the industry, where the end-to-end runtime and approximation errors are comparable to state-of-the-art classical Monte Carlo methods. We introduce a new method – the re-parameterization method – which allows loading stochastic processes on a quantum device resolving blocking issues inherent in previously proposed methods. Finally, we discuss the hardware progress still required for quantum advantage to be realized in practice.

Bio

Nikitas Stamatopoulos is a Vice President in the R&D Engineering Division at Goldman Sachs, with research focus on applications of quantum computing in finance. Prior to joining Goldman Sachs, he was a quantitative researcher at JPMorgan Chase for 7 years, focusing on HPC solutions for quantitative problems in derivatives pricing and portfolio optimization, and from 2018 to 2020 leading the investment bank’s research in quantum computing. He holds a PhD in Physics from Dartmouth College with focus in Field Theory and Cosmology.