{"id":"https://openalex.org/W2491984381","doi":"https://doi.org/10.1002/9781118268070","title":"Financial Models with L\u00e9vy Processes and Volatility Clustering","display_name":"Financial Models with L\u00e9vy Processes and Volatility Clustering","publication_year":2011,"publication_date":"2011-01-24","ids":{"openalex":"https://openalex.org/W2491984381","doi":"https://doi.org/10.1002/9781118268070","mag":"2491984381"},"language":"en","primary_location":{"id":"doi:10.1002/9781118268070","doi":"https://doi.org/10.1002/9781118268070","is_oa":false,"landing_page_url":"https://doi.org/10.1002/9781118268070","pdf_url":null,"source":{"id":"https://openalex.org/S4306464293","display_name":"Wiley eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":null,"raw_type":"monograph"},"volume":null,"type":"book","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5055255067","display_name":"Svetlozar T. Rachev","orcid":"https://orcid.org/0000-0002-1823-7140","observed_orcids":["https://orcid.org/0000-0002-1823-7140","https://orcid.org/0000-0002-0869-4399"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Svetlozar T. Rachev","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100363694","display_name":"Young Shin Kim","orcid":"https://orcid.org/0000-0002-3401-529X","observed_orcids":["https://orcid.org/0000-0002-3401-529X"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Young Shin Kim","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5061589540","display_name":"Michele Leonardo Bianchi","orcid":"https://orcid.org/0000-0002-1865-6935","observed_orcids":["https://orcid.org/0000-0002-1865-6935"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Michele Leonardo Bianchi","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5055304783","display_name":"Frank J. Fabozzi","orcid":"https://orcid.org/0000-0002-2827-1465","observed_orcids":["https://orcid.org/0000-0002-2827-1465"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Frank J. Fabozzi","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":12.5811,"has_fulltext":false,"cited_by_count":137,"citation_normalized_percentile":{"value":0.98324022,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":91,"max":100},"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.001500000013038516,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/levy-processes","display_name":"L\u00e9vy processes","score":0.996999979019165},{"id":"https://openalex.org/keywords/volatility-clustering","display_name":"volatility clustering","score":0.9710000157356262},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"financial mathematics","score":0.8149999976158142},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.6890000104904175},{"id":"https://openalex.org/keywords/jump-processes","display_name":"jump processes","score":0.5529999732971191},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.5559999942779541}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6606848239898682},{"id":"https://openalex.org/C2776142675","wikidata":"https://www.wikidata.org/wiki/Q7939999","display_name":"Volatility clustering","level":4,"score":0.6163690686225891},{"id":"https://openalex.org/C73555534","wikidata":"https://www.wikidata.org/wiki/Q622825","display_name":"Cluster analysis","level":2,"score":0.4657863676548004},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4322115182876587},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3885303735733032},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.33374470472335815},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.3234233260154724},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.18279346823692322},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.08360883593559265},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.056098103523254395}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1002/9781118268070","doi":"https://doi.org/10.1002/9781118268070","is_oa":false,"landing_page_url":"https://doi.org/10.1002/9781118268070","pdf_url":null,"source":{"id":"https://openalex.org/S4306464293","display_name":"Wiley eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":null,"raw_type":"monograph"},{"id":"pmh:oai:aleph.bib-bvb.de:BVB01-027352035","doi":null,"is_oa":false,"landing_page_url":"http://lib.myilibrary.com?id=302564","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"software, multimedia"},{"id":"mag:614061277","doi":null,"is_oa":false,"landing_page_url":"http://www.gbv.de/dms/zbw/63391391X.pdf","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W7028397319","https://openalex.org/W1602732553","https://openalex.org/W7062389227","https://openalex.org/W2285453238","https://openalex.org/W7099183806","https://openalex.org/W2484291494","https://openalex.org/W2626750217","https://openalex.org/W3124107179","https://openalex.org/W6992941906","https://openalex.org/W4254669185"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":9},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":14},{"year":2020,"cited_by_count":8},{"year":2019,"cited_by_count":8},{"year":2018,"cited_by_count":12},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":11},{"year":2015,"cited_by_count":18},{"year":2014,"cited_by_count":14},{"year":2013,"cited_by_count":11},{"year":2012,"cited_by_count":12}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2016-08-23T00:00:00"}
