Quantum Monte Carlo in Julia.

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.