Narrow Results

In the last couple of years, quantum computing has come out as emerging trends of computation not only due to its immense popularity but also for its commitment towards physical realization of quantum circuit in on-chip units. At the same time, the process of physical realization has faced several design constraints and one such problem is nearest neighbor (NN) enforcement which demands all the operating qubits to be placed adjacent in the implementable circuit. Though SWAP gate embedment can transform a design into NN architecture, it still creates overhead in the design. So, designing algorithms to restrict the use of SWAPs bears high importance.

Considering this fact, in this work, we are proposing a heuristic-based improved qubit placement strategy for efficient implementation of NN circuit. Two different design policies are being developed here. In the first scheme, a global reordering technique based on clustering approach is shown. In the second scheme, a local reordering technique based on look-ahead policy is developed. This look-ahead strategy considers the impact over the gates in the circuit and thereby estimates the effect using a cost metric to decide the suitable option for SWAP implementation. Furthermore, the joint use of both the ordering schemes also has been explored here. To ascertain the correctness of our design algorithms, we have tested them over a wide range of benchmarks and the obtained results are compared with some state-of-the-art design approaches. From this comparison, we have witnessed a considerable reduction on SWAP cost in our design scheme against the reported works’ results.

The objective of this paper is to study the arbitrage free pricing of the covariance swap for Barndorff–Nielsen and Shephard (BN–S) type Lévy process driven financial markets. One of the major challenges in arbitrage free pricing of swap is to obtain an accurate pricing expression which can be used with good computational accuracy. In this paper, we obtain analytic expressions for the pricing of the covariance swap. We show that with the analytic expressions obtained from the BN–S model, the error estimation in fitting the delivery price is much less than the existing models with comparable parameters. The models and pricing formulas proposed in this paper are computable in real time and hence can be efficiently used in practical applications.

Collateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis can be rarely found since our initial attempts. This work gives its extension regarding a general framework of interest rates in a fully collateralized market. It gives a new formulation of the currency funding spread which is better suited for the general dependence. In the last half, it develops a discretization of the HJM framework with a fixed tenor structure, which makes it implementable as a traditional Market Model.

In recent years, we have observed dramatic increase of collateralization as an important credit risk mitigation tool in over the counter (OTC) market [6]. Combined with the significant and persistent widening of various basis spreads, such as Libor-OIS and cross currency basis, the practitioners have started to notice the importance of difference between the funding cost of contracts and Libors of the relevant currencies. In this article, we integrate the series of our recent works [1, 2, 4] and explain the consistent construction of term structures of interest rates in the presence of collateralization and all the relevant basis spreads, their no-arbitrage dynamics as well as their implications for derivative pricing and risk management. Particularly, we have shown the importance of the choice of collateral currency and embedded "cheapest-to-deliver" (CTD) option in a collateral agreement.

The recent financial crisis has spiked the credit and liquidity premia among financial products, and significant widening of basis spreads among Libors with different tenors and currencies has been observed in interest rate markets. Our previous work, "A Note on Construction of Multiple Swap Curves with and without Collateral" has developed an arbitrage-free curve construction method with all the relevant spreads taken into account. This short note carries out a brief survey on the existing analysis of spreads' dynamics and pricing models as a preparation for the development of a model that enables us to price and hedge generic financial derivatives under the new market condition.