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Search Results: 1 - 10 of 5573 matches for " Ramponi Giovanni "
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Editorial
Foresti Gian Luca,Ramponi Giovanni,Regazzoni Carlo,Sicuranza Giovanni L
EURASIP Journal on Advances in Signal Processing , 2004,
Abstract:
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.

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.
Fenomeni di superfluidità nucleare in stelle di neutroni
Giorgio Gori,F. Ramponi
Bollettino del CILEA , 2003, DOI: 10.1472/bc.v90inovembre.857
Abstract: Viene presentato in questo articolo il lavoro del gruppo di teoria della struttura nucleare dell'Università di Milano riguardante la descrizione dello stato superfluido della materia nella inner crust di una stella di neutroni.
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.
A critical review of techniques for Term Structure analysis
Livio Marangio,Alessandro Ramponi,Massimo Bernaschi
Physics , 2000,
Abstract: Fixed income markets share many features with the equity markets. However there are significant differences as well and many attempts have been done in the past to develop specific tools which describe (and possibly forecasts) the behavior of such markets. For instance, a correct pricing of fixed income securities with fixed cache flows requires the knowledge of the {\it term structure} of interest rates. A number of techniques have been proposed for estimating and interpreting the term structure, yet solid theoretical foundations and a comparative assessment of the results produced by these techniques are not available. In this paper we define the fundamental concepts with a mathematical terminology. Besides that, we report about an extensive set of experiments whose scope is to point out the strong and weak points of the most widely used approaches in this field.
A globally convergent matricial algorithm for multivariate spectral estimation
Federico Ramponi,Augusto Ferrante,Michele Pavon
Mathematics , 2008,
Abstract: In this paper, we first describe a matricial Newton-type algorithm designed to solve the multivariable spectrum approximation problem. We then prove its global convergence. Finally, we apply this approximation procedure to multivariate spectral estimation, and test its effectiveness through simulation. Simulation shows that, in the case of short observation records, this method may provide a valid alternative to standard multivariable identification techniques such as MATLAB's PEM and MATLAB's N4SID.
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