{"id":"https://openalex.org/W2167558209","doi":"https://doi.org/10.1007/s00780-007-0042-8","title":"Stochastic flow approach to Dupire\u2019s formula","display_name":"Stochastic flow approach to Dupire\u2019s formula","publication_year":2007,"publication_date":"2007-05-10","ids":{"openalex":"https://openalex.org/W2167558209","doi":"https://doi.org/10.1007/s00780-007-0042-8","mag":"2167558209"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-007-0042-8","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-007-0042-8","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/A5007421911","display_name":"Benjamin Jourdain","orcid":"https://orcid.org/0000-0001-9957-7755"},"institutions":[{"id":"https://openalex.org/I142631665","display_name":"\u00c9cole nationale des ponts et chauss\u00e9es","ror":"https://ror.org/02nwvxz07","country_code":"FR","type":"education","lineage":["https://openalex.org/I142631665","https://openalex.org/I4210145102"]},{"id":"https://openalex.org/I4210128309","display_name":"CERMICS","ror":"https://ror.org/03wct8w46","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I142631665","https://openalex.org/I4210128309","https://openalex.org/I4210145102"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"B. Jourdain","raw_affiliation_strings":["CERMICS, project-team Mathfi, \u00c9cole des Ponts, ParisTech, 6-8 av Blaise Pascal, Cit\u00e9 Descartes, Champs sur Marne, 77455, Marne-la-Vall\u00e9e Cedex 2, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"CERMICS, project-team Mathfi, \u00c9cole des Ponts, ParisTech, 6-8 av Blaise Pascal, Cit\u00e9 Descartes, Champs sur Marne, 77455, Marne-la-Vall\u00e9e Cedex 2, France","institution_ids":["https://openalex.org/I142631665","https://openalex.org/I4210128309"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5007421911"],"corresponding_institution_ids":["https://openalex.org/I142631665","https://openalex.org/I4210128309"],"apc_list":{"value":2890,"currency":"USD","value_usd":2890},"apc_paid":null,"fwci":0.3878,"has_fulltext":false,"cited_by_count":15,"citation_normalized_percentile":{"value":0.73544195,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"11","issue":"4","first_page":"521","last_page":"535"},"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/T12137","display_name":"Economic theories and models","score":0.9847000241279602,"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"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9815000295639038,"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/probabilistic-logic","display_name":"Probabilistic logic","score":0.744678258895874},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7020604610443115},{"id":"https://openalex.org/keywords/local-volatility","display_name":"Local volatility","score":0.6830463409423828},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.6681033372879028},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5683435201644897},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.5214052200317383},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4922923147678375},{"id":"https://openalex.org/keywords/duality","display_name":"Duality (order theory)","score":0.4900397062301636},{"id":"https://openalex.org/keywords/flow","display_name":"Flow (mathematics)","score":0.41289976239204407},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.39660894870758057},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.35718467831611633},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.3057017922401428},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3012281358242035},{"id":"https://openalex.org/keywords/pure-mathematics","display_name":"Pure mathematics","score":0.18945690989494324},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.17683327198028564},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.14917990565299988},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.1479381024837494},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.07400289177894592}],"concepts":[{"id":"https://openalex.org/C49937458","wikidata":"https://www.wikidata.org/wiki/Q2599292","display_name":"Probabilistic logic","level":2,"score":0.744678258895874},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7020604610443115},{"id":"https://openalex.org/C2779834249","wikidata":"https://www.wikidata.org/wiki/Q6664586","display_name":"Local volatility","level":4,"score":0.6830463409423828},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.6681033372879028},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5683435201644897},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.5214052200317383},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4922923147678375},{"id":"https://openalex.org/C2778023678","wikidata":"https://www.wikidata.org/wiki/Q554403","display_name":"Duality (order theory)","level":2,"score":0.4900397062301636},{"id":"https://openalex.org/C38349280","wikidata":"https://www.wikidata.org/wiki/Q1434290","display_name":"Flow (mathematics)","level":2,"score":0.41289976239204407},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.39660894870758057},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.35718467831611633},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.3057017922401428},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3012281358242035},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.18945690989494324},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.17683327198028564},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.14917990565299988},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.1479381024837494},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.07400289177894592},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00780-007-0042-8","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-007-0042-8","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:11:y:2007:i:4:p:521-535","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-007-0042-8","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":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":11,"referenced_works":["https://openalex.org/W20588324","https://openalex.org/W638914918","https://openalex.org/W1510833486","https://openalex.org/W1545370368","https://openalex.org/W2039592080","https://openalex.org/W2089933296","https://openalex.org/W2181281034","https://openalex.org/W2314913127","https://openalex.org/W2739783726","https://openalex.org/W3005189213","https://openalex.org/W4230540897"],"related_works":["https://openalex.org/W3123296785","https://openalex.org/W2512830070","https://openalex.org/W2188639880","https://openalex.org/W2281565324","https://openalex.org/W4287779353","https://openalex.org/W3024578200","https://openalex.org/W2906914066","https://openalex.org/W3123841515","https://openalex.org/W3198327799","https://openalex.org/W3122544694"],"abstract_inverted_index":null,"counts_by_year":[{"year":2016,"cited_by_count":8},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-07-29T09:40:50.615796","created_date":"2025-10-10T00:00:00"}