Journal of Mathematical Finance

Volume 3, Issue 1 (February 2013)

ISSN Print: 2162-2434   ISSN Online: 2162-2442

Google-based Impact Factor: 1.39  Citations  

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

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DOI: 10.4236/jmf.2013.31009    5,756 Downloads   10,097 Views  Citations
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ABSTRACT

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.

Share and Cite:

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.

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