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Y. S. Kim, S. T. Rachev, M. L. Bianchi and F. J. Fabozzi, “Computing VaR and AVaR in Infinitely Divisible Distributions,” Probability and Mathematical Statistics, Vol. 30, No. 2, 2010, pp. 223-245.

has been cited by the following article:

• TITLE: VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models

  AUTHORS: Alessandro Ramponi

  KEYWORDS: Regime Switching Jump-Diffusion Models; Value at Risk; Risk Management; Fourier Transform Methods

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.1, February 28, 2013

  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.