{"id":"https://openalex.org/W2098038575","doi":"https://doi.org/10.1007/s00780-006-0008-2","title":"Consistent Variance Curve Models","display_name":"Consistent Variance Curve Models","publication_year":2006,"publication_date":"2006-04-01","ids":{"openalex":"https://openalex.org/W2098038575","doi":"https://doi.org/10.1007/s00780-006-0008-2","mag":"2098038575"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-006-0008-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-006-0008-2","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","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/A5000504499","display_name":"Hans Buehler","orcid":null},"institutions":[{"id":"https://openalex.org/I4577782","display_name":"Technische Universit\u00e4t Berlin","ror":"https://ror.org/03v4gjf40","country_code":"DE","type":"education","lineage":["https://openalex.org/I4577782"]},{"id":"https://openalex.org/I4210158216","display_name":"Deutsche Bank (United Kingdom)","ror":"https://ror.org/04tpxn918","country_code":"GB","type":"company","lineage":["https://openalex.org/I158193983","https://openalex.org/I4210158216"]},{"id":"https://openalex.org/I158193983","display_name":"Deutsche Bank (Germany)","ror":"https://ror.org/03qwqnb95","country_code":"DE","type":"company","lineage":["https://openalex.org/I158193983"]}],"countries":["DE","GB"],"is_corresponding":true,"raw_author_name":"Hans Buehler","raw_affiliation_strings":["Institut f\u00fcr Mathematik, MA 7-4, TU Berlin, Strasse des 17. Juni 136, 10623, Berlin, Germany","Quantitative Products Analytics, Global Markets Equity, Deutsche Bank AG London, 1 Great Winchester Street, London, EC2N 2EQ, UK","Deutsche Bank AG London","MA 7-4, TU Berlin"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institut f\u00fcr Mathematik, MA 7-4, TU Berlin, Strasse des 17. Juni 136, 10623, Berlin, Germany","institution_ids":["https://openalex.org/I4577782"]},{"raw_affiliation_string":"Quantitative Products Analytics, Global Markets Equity, Deutsche Bank AG London, 1 Great Winchester Street, London, EC2N 2EQ, UK","institution_ids":["https://openalex.org/I4210158216"]},{"raw_affiliation_string":"Deutsche Bank AG London","institution_ids":["https://openalex.org/I158193983"]},{"raw_affiliation_string":"MA 7-4, TU Berlin","institution_ids":["https://openalex.org/I4577782"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5000504499"],"corresponding_institution_ids":["https://openalex.org/I158193983","https://openalex.org/I4210158216","https://openalex.org/I4577782"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":9.8061,"has_fulltext":false,"cited_by_count":112,"citation_normalized_percentile":{"value":0.97961547,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":100},"biblio":{"volume":"10","issue":"2","first_page":"178","last_page":"203"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"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":0.9997000098228455,"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":0.996999979019165,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9934999942779541,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/variance-swap","display_name":"Variance swap","score":0.8634443283081055},{"id":"https://openalex.org/keywords/heath\u2013jarrow\u2013morton-framework","display_name":"Heath\u2013Jarrow\u2013Morton framework","score":0.6388854384422302},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6181656122207642},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6148315072059631},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.49253544211387634},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.47006353735923767},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.4626961350440979},{"id":"https://openalex.org/keywords/realized-variance","display_name":"Realized variance","score":0.4425826370716095},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.4422535002231598},{"id":"https://openalex.org/keywords/price-variance","display_name":"Price variance","score":0.43835946917533875},{"id":"https://openalex.org/keywords/yield-curve","display_name":"Yield curve","score":0.4286750257015228},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.3774494528770447},{"id":"https://openalex.org/keywords/forward-volatility","display_name":"Forward volatility","score":0.36165690422058105},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3506591320037842},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3470587134361267},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.22313231229782104},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.13102832436561584},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.10000777244567871}],"concepts":[{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.8634443283081055},{"id":"https://openalex.org/C187614132","wikidata":"https://www.wikidata.org/wiki/Q1563747","display_name":"Heath\u2013Jarrow\u2013Morton framework","level":3,"score":0.6388854384422302},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6181656122207642},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6148315072059631},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.49253544211387634},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.47006353735923767},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.4626961350440979},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.4425826370716095},{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.4422535002231598},{"id":"https://openalex.org/C47664361","wikidata":"https://www.wikidata.org/wiki/Q7242636","display_name":"Price variance","level":3,"score":0.43835946917533875},{"id":"https://openalex.org/C176230804","wikidata":"https://www.wikidata.org/wiki/Q205257","display_name":"Yield curve","level":3,"score":0.4286750257015228},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.3774494528770447},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.36165690422058105},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3506591320037842},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3470587134361267},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.22313231229782104},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.13102832436561584},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10000777244567871},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s00780-006-0008-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-006-0008-2","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:finsto:v:10:y:2006:i:2:d:10.1007_s00780-006-0008-2","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00780-006-0008-2","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:RePEc:spr:finsto:v:10:y:2006:i:2:p:178-203","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-006-0008-2","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Partnerships for the goals","score":0.49000000953674316,"id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320320879","display_name":"Deutsche Forschungsgemeinschaft","ror":"https://ror.org/018mejw64"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":31,"referenced_works":["https://openalex.org/W18783515","https://openalex.org/W180499215","https://openalex.org/W226901609","https://openalex.org/W604987624","https://openalex.org/W622848928","https://openalex.org/W841949886","https://openalex.org/W1483801101","https://openalex.org/W1509423932","https://openalex.org/W1514815886","https://openalex.org/W1542004730","https://openalex.org/W1545370368","https://openalex.org/W1962742696","https://openalex.org/W1995522593","https://openalex.org/W2042775870","https://openalex.org/W2064978316","https://openalex.org/W2076458153","https://openalex.org/W2121121436","https://openalex.org/W2135633973","https://openalex.org/W2147631167","https://openalex.org/W2170444200","https://openalex.org/W2476843405","https://openalex.org/W3122994440","https://openalex.org/W3123321876","https://openalex.org/W3123485991","https://openalex.org/W3123954224","https://openalex.org/W3125090498","https://openalex.org/W3125660228","https://openalex.org/W4229984434","https://openalex.org/W4256347648","https://openalex.org/W4285719527","https://openalex.org/W4300475775"],"related_works":["https://openalex.org/W1989265966","https://openalex.org/W2547959514","https://openalex.org/W3151639620","https://openalex.org/W3124121258","https://openalex.org/W1568900049","https://openalex.org/W3124639754","https://openalex.org/W3082824610","https://openalex.org/W2123516136","https://openalex.org/W2745293173","https://openalex.org/W1595104281"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":8},{"year":2014,"cited_by_count":15},{"year":2013,"cited_by_count":15},{"year":2012,"cited_by_count":9}],"updated_date":"2026-05-06T08:25:59.206177","created_date":"2025-10-10T00:00:00"}
