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Search Results: 1 - 10 of 223824 matches for " R. Ramponi "
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VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models  [PDF]
Alessandro Ramponi
Journal of Mathematical Finance (JMF) , 2013, DOI: 10.4236/jmf.2013.31009
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.

Design of Farthest-Point Masks for Image Halftoning
G. Ramponi,C. Moloney,R. Shahidi
EURASIP Journal on Advances in Signal Processing , 2004, DOI: 10.1155/s1687617204403217
Abstract: In an earlier paper, we briefly presented a new halftoning algorithm called farthest-point halftoning. In the present paper, this method is analyzed in detail, and a novel dispersion measure is defined to improve the simplicity and flexibility of the result. This new stochastic screen algorithm is loosely based on Kang's dispersed-dot ordered dither halftone array construction technique used as part of his microcluster halftoning method. Our new halftoning algorithm uses pixelwise measures of dispersion based on one proposed by Kang which is here modified to be more effective. In addition, our method exploits the concept of farthest-point sampling (FPS), introduced as a progressive irregular sampling method by Eldar et al. but uses a more efficient implementation of FPS in the construction of the dot profiles. The technique we propose is compared to other state-of-the-art dither-based halftoning methods in both qualitative and quantitative manners.
Gonality and Clifford index of curves on elliptic K3 surfaces with Picard number two
Marco Ramponi
Mathematics , 2015,
Abstract: For any non-zero integer $m$, we compute the gonality and Clifford index of curves on K3 surfaces with Picard group isomorphic to $U(m)$. Here we denote by $U(m)$ the lattice given by the hyperbolic plane $U$ with intersection form multiplied by $m$.
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach
Alessandro Ramponi
Quantitative Finance , 2012,
Abstract: 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.
On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility
Alessandro Ramponi
Quantitative Finance , 2014, DOI: 10.1007/s11009-015-9446-7
Abstract: In this paper we consider Fourier transform techniques to efficiently compute the Value-at-Risk and the Conditional Value-at-Risk of an arbitrary loss random variable, characterized by having a computable generalized characteristic function. We exploit the property of these risk measures of being the solution of an elementary optimization problem of convex type in one dimension for which Fast and Fractional Fourier transform can be implemented. An application to univariate loss models driven by L\'{e}vy or stochastic volatility risk factors dynamic is finally reported.
Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options
Alessandro Ramponi
Quantitative Finance , 2011,
Abstract: In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlying of European contingent claims. For this class of processes we firstly outline the Fourier transform method both in log-price and log-strike to efficiently calculate the value of various types of options and as a concrete example of application, we present some numerical results within a two-state regime switching version of the Merton jump-diffusion model. Then we develop a closed-form solution to the problem of pricing a Forward Starting Option and use this result to approximate the value of such a derivative in a general stochastic volatility framework.
Polarization entangled state measurement on a chip
L. Sansoni,F. Sciarrino,G. Vallone,P. Mataloni,A. Crespi,R. Ramponi,R. Osellame
Physics , 2010, DOI: 10.1103/PhysRevLett.105.200503
Abstract: The emerging strategy to overcome the limitations of bulk quantum optics consists of taking advantage of the robustness and compactness achievable by the integrated waveguide technology. Here we report the realization of a directional coupler, fabricated by femtosecond laser waveguide writing, acting as an integrated beam splitter able to support polarization encoded qubits. This maskless and single step technique allows to realize circular transverse waveguide profiles able to support the propagation of Gaussian modes with any polarization state. Using this device, we demonstrate the quantum interference with polarization entangled states and singlet state projection.
Quantum interferometry with three-dimensional geometry
N. Spagnolo,L. Aparo,C. Vitelli,A. Crespi,R. Ramponi,R. Osellame,P. Mataloni,F. Sciarrino
Physics , 2013, DOI: 10.1038/srep00862
Abstract: Quantum interferometry uses quantum resources to improve phase estimation with respect to classical methods. Here we propose and theoretically investigate a new quantum interferometric scheme based on three-dimensional waveguide devices. These can be implemented by femtosecond laser waveguide writing, recently adopted for quantum applications. In particular, multiarm interferometers include "tritter" and "quarter" as basic elements, corresponding to the generalization of a beam splitter to a 3- and 4-port splitter, respectively. By injecting Fock states in the input ports of such interferometers, fringe patterns characterized by nonclassical visibilities are expected. This enables outperforming the quantum Fisher information obtained with classical fields in phase estimation. We also discuss the possibility of achieving the simultaneous estimation of more than one optical phase. This approach is expected to open new perspectives to quantum enhanced sensing and metrology performed in integrated photonic.
Observation of dynamic localization in periodically-curved waveguide arrays
S. Longhi,M. Marangoni,M. Lobino,R. Ramponi,P. Laporta,E. Cianci,V. Foglietti
Physics , 2005, DOI: 10.1103/PhysRevLett.96.243901
Abstract: We report on a direct experimental observation of dynamic localization (DL) of light in sinusoidally-curved Lithium-Niobate waveguide arrays which provides the optical analog of DL for electrons in periodic potentials subjected to ac electric fields as originally proposed by Dunlap and Kenkre [D.H. Dunlap and V.M. Kenkre, Phys. Rev. B 34, 3625 (1986)]. The theoretical condition for DL in a sinusoidal field is experimentally demonstrated.
Attractive and repulsive contributions of medium fluctuations to nuclear superfluidity
G. Gori,F. Ramponi,F. Barranco,P. F. Bortignon,R. A. Broglia,G. Colo',E. Vigezzi
Physics , 2005, DOI: 10.1103/PhysRevC.72.011302
Abstract: Oscillations of mainly surface character (S=0 modes) give rise, in atomic nuclei, to an attractive (induced) pairing interaction, while spin (S=1) modes of mainly volume character generate a repulsive interaction, the net effect being an attraction which accounts for a sizeable fraction of the experimental pairing gap. Suppressing the particle-vibration coupling mediated by the proton degrees of freedom, i.e., mimicking neutron matter, the total surface plus spin-induced pairing interaction becomes repulsive.
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