VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models

DOI: 10.4236/jmf.2013.31009   PDF   HTML   XML   5,097 Downloads   8,904 Views   Citations


In this paper we study a classical option-based portfolio strategy which minimizes the Value-at-Risk of the hedged position in a continuous time, regime-switching jump-diffusion market, by using Fourier Transform methods. However, the analysis of this hedging strategy, as well as the computational technique for its implementation, is fairly general, i.e. it can be applied to any dynamical model for which Fourier transform methods are viable.

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A. Ramponi, "VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models," Journal of Mathematical Finance, Vol. 3 No. 1, 2013, pp. 103-109. doi: 10.4236/jmf.2013.31009.

Conflicts of Interest

The authors declare no conflicts of interest.


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