{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2012:O7HUT5UZEPRT6DV6SWW7MNGEZ3","short_pith_number":"pith:O7HUT5UZ","schema_version":"1.0","canonical_sha256":"77cf49f69923e33f0ebe95adf634c4ceda67c4e6b2eee81fc5698594612382ee","source":{"kind":"arxiv","id":"1207.6759","version":1},"attestation_state":"computed","paper":{"title":"Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.CP"],"primary_cat":"q-fin.RM","authors_text":"Alessandro Ramponi","submitted_at":"2012-07-29T09:21:20Z","abstract_excerpt":"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 dynami"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1207.6759","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2012-07-29T09:21:20Z","cross_cats_sorted":["q-fin.CP"],"title_canon_sha256":"cef20e8b19178bca6d6c587b34e6506b0f2a118f64fceb22a14c1583f4df8fe2","abstract_canon_sha256":"b5a8e81b89eb69b4b214e9a31ce433920753afea772834e52316e5a31be7fbcd"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T03:49:48.817508Z","signature_b64":"wwoAwK834Ix8ECitD2QdU8v614YQ30UzbNqxwusIwwZ8uOryWuUPwbftDNnUww9558+iiK2IX0NKMk+pU27qBw==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"77cf49f69923e33f0ebe95adf634c4ceda67c4e6b2eee81fc5698594612382ee","last_reissued_at":"2026-05-18T03:49:48.816815Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T03:49:48.816815Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.CP"],"primary_cat":"q-fin.RM","authors_text":"Alessandro Ramponi","submitted_at":"2012-07-29T09:21:20Z","abstract_excerpt":"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 dynami"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1207.6759","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"1207.6759","created_at":"2026-05-18T03:49:48.816894+00:00"},{"alias_kind":"arxiv_version","alias_value":"1207.6759v1","created_at":"2026-05-18T03:49:48.816894+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1207.6759","created_at":"2026-05-18T03:49:48.816894+00:00"},{"alias_kind":"pith_short_12","alias_value":"O7HUT5UZEPRT","created_at":"2026-05-18T12:27:16.716162+00:00"},{"alias_kind":"pith_short_16","alias_value":"O7HUT5UZEPRT6DV6","created_at":"2026-05-18T12:27:16.716162+00:00"},{"alias_kind":"pith_short_8","alias_value":"O7HUT5UZ","created_at":"2026-05-18T12:27:16.716162+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/O7HUT5UZEPRT6DV6SWW7MNGEZ3","json":"https://pith.science/pith/O7HUT5UZEPRT6DV6SWW7MNGEZ3.json","graph_json":"https://pith.science/api/pith-number/O7HUT5UZEPRT6DV6SWW7MNGEZ3/graph.json","events_json":"https://pith.science/api/pith-number/O7HUT5UZEPRT6DV6SWW7MNGEZ3/events.json","paper":"https://pith.science/paper/O7HUT5UZ"},"agent_actions":{"view_html":"https://pith.science/pith/O7HUT5UZEPRT6DV6SWW7MNGEZ3","download_json":"https://pith.science/pith/O7HUT5UZEPRT6DV6SWW7MNGEZ3.json","view_paper":"https://pith.science/paper/O7HUT5UZ","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1207.6759&json=true","fetch_graph":"https://pith.science/api/pith-number/O7HUT5UZEPRT6DV6SWW7MNGEZ3/graph.json","fetch_events":"https://pith.science/api/pith-number/O7HUT5UZEPRT6DV6SWW7MNGEZ3/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/O7HUT5UZEPRT6DV6SWW7MNGEZ3/action/timestamp_anchor","attest_storage":"https://pith.science/pith/O7HUT5UZEPRT6DV6SWW7MNGEZ3/action/storage_attestation","attest_author":"https://pith.science/pith/O7HUT5UZEPRT6DV6SWW7MNGEZ3/action/author_attestation","sign_citation":"https://pith.science/pith/O7HUT5UZEPRT6DV6SWW7MNGEZ3/action/citation_signature","submit_replication":"https://pith.science/pith/O7HUT5UZEPRT6DV6SWW7MNGEZ3/action/replication_record"}},"created_at":"2026-05-18T03:49:48.816894+00:00","updated_at":"2026-05-18T03:49:48.816894+00:00"}