arXiv subjects

Hanan Rosemarin

Publications and source records attributed to Hanan Rosemarin.

5 recordsLinked to original sources

arXiv2026

Quantum Counterparty Credit Risk: A Study of Path-Dependent Derivatives

Estimating potential future exposure (PFE) for path-dependent derivatives, such as FX Target Redemption Forwards (TARFs), represents a formidable computational challenge due to the demand of nested Monte Carlo simulations. We present a hybrid quantum-classical framework that leverages Iterative Quantum Amplitude Estimation (IQAE) to address this via a reduced-order counterparty credit risk model. Our methodology maps the non-linear TARF payoff -- including cumulative gains and knock-out features -- into a quantum circuit via a two-step formulation, whereby a first-step percentile is computed classically and then used to condition quantum evaluation of subsequent exposure. We employ discretisation of the FX process and a linearised additive approximation of dynamics to enable implementation on current quantum platforms. Developed via the Classiq platform and validated on NVIDIA CUDA-Q and Amazon Braket SV1, our approach achieves relative errors of 1%-8% against classical benchmarks at the 97.5% and 99% confidence levels. While discretisation constraints and approximate monotonicity assumption may introduce bias and limit recovery of the full exposure distribution, our framework offers a tractable testbed for quantum acceleration. Scaling analysis suggests that $\sim$300 logical qubits could enable full 52-week exposure estimation, reducing sample complexity for tail-risk estimation via amplitude estimation at the cost of increased circuit depth.

quant-ph↗

arXiv2025

Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading

We present a comprehensive quantum algorithm tailored for pricing autocallable options, offering a full implementation and experimental validation. Our experiments include simulations conducted on high-performance computing (HPC) hardware, along with an empirical analysis of convergence to the classically estimated value. Our key innovation is an improved integration-based exponential amplitude loading technique that reduces circuit depth compared to state-of-the-art approaches. A detailed complexity analysis in a relevant setting shows an approximately 50x reduction in T-depth for the payoff component relative to previous methods. These contributions represent a step toward more efficient quantum approaches to pricing complex financial derivatives.

quant-ph↗

arXiv2025

Design and synthesis of scalable quantum programs

We present a scalable, robust approach to creating quantum programs of arbitrary size and complexity. The approach is based on the true abstraction of the problem. The quantum program is expressed in terms of a high-level model together with constraints and objectives on the final program. Advanced synthesis algorithms transform the model into a low-level quantum program that meets the user's specification and is directed at a stipulated hardware. This separation of description from implementation is essential for scale. The technology adapts electronic design automation methods to quantum computing, finding feasible implementations in a virtually unlimited functional space. The results show clear superiority over the compilation and transpilation methods used today. We expect that this technological approach will take over and prevail as quantum software become more demanding, complex, and essential.

quant-ph↗

arXiv2017

Learning to Schedule Deadline- and Operator-Sensitive Tasks

The use of semi-autonomous and autonomous robotic assistants to aid in care of the elderly is expected to ease the burden on human caretakers, with small-stage testing already occurring in a variety of countries. Yet, it is likely that these robots will need to request human assistance via teleoperation when domain expertise is needed for a specific task. As deployment of robotic assistants moves to scale, mapping these requests for human aid to the teleoperators themselves will be a difficult online optimization problem. In this paper, we design a system that allocates requests to a limited number of teleoperators, each with different specialities, in an online fashion. We generalize a recent model of online job scheduling with a worst-case competitive-ratio bound to our setting. Next, we design a scalable machine-learning-based teleoperator-aware task scheduling algorithm and show, experimentally, that it performs well when compared to an omniscient optimal scheduling algorithm.

cs.AI↗

arXiv2003

Communication near the channel capacity with an absence of compression: Statistical Mechanical Approach

The generalization of Shannon's theory to include messages with given autocorrelations is presented. The analytical calculation of the channel capacity is based on the transfer matrix method of the effective 1D Hamiltonian. This bridge between statistical physics and information theory leads to efficient Low-Density Parity-Check Codes over Galois fields that nearly saturate the channel capacity. The novel idea of the decoder is the dynamical updating of the prior block probabilities which are derived from the transfer matrix solution and from the posterior probabilities of the neighboring blocks. Application and possible extensions are discussed, specifically the possibility of achieving the channel capacity without compression of the data.

cond-mat.stat-mech↗