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摘要翻译：
本文利用傅立叶变换方法，研究了一个危险位置分位数的计算问题，该危险位置的动力学描述为一个连续的时间区域切换跳扩散。在此基础上，我们研究了一个经典的基于期权的投资组合策略，该策略使被套期保值头寸的风险价值最小化，并通过一个数值例子说明了跳跃和切换机制对最优策略的影响。然而，对这种套期保值策略的分析，以及实现它的计算技术，是相当普遍的，即它可以适用于任何傅立叶变换方法可行的动态模型。
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英文标题：
《Computing Quantiles in Regime-Switching Jump-Diffusions with Application
to Optimal Risk Management: a Fourier Transform Approach》
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作者：
Alessandro Ramponi
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
In this paper we consider the problem of calculating the quantiles of a risky position, the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transform methods. Furthermore, we study a classical option-based portfolio strategy which minimizes the Value-at-Risk of the hedged position and show the impact of jumps and switching regimes on the optimal strategy in a numerical example. 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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PDF链接：
https://arxiv.org/pdf/1207.6759
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