{"id":"https://openalex.org/W2009520599","doi":"https://doi.org/10.1007/s00780-008-0067-7","title":"On q-optimal martingale measures in exponential L\u00e9vy models","display_name":"On q-optimal martingale measures in exponential L\u00e9vy models","publication_year":2008,"publication_date":"2008-05-14","ids":{"openalex":"https://openalex.org/W2009520599","doi":"https://doi.org/10.1007/s00780-008-0067-7","mag":"2009520599"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-008-0067-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-008-0067-7","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/A5103188231","display_name":"Christian Bender","orcid":"https://orcid.org/0000-0003-3264-2975"},"institutions":[{"id":"https://openalex.org/I94509681","display_name":"Technische Universit\u00e4t Braunschweig","ror":"https://ror.org/010nsgg66","country_code":"DE","type":"education","lineage":["https://openalex.org/I94509681"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Christian Bender","raw_affiliation_strings":["Institute for Mathematical Stochastics, TU Braunschweig, Pockelsstr. 14, 38106, Braunschweig, Germany","TU Braunschweig;"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute for Mathematical Stochastics, TU Braunschweig, Pockelsstr. 14, 38106, Braunschweig, Germany","institution_ids":["https://openalex.org/I94509681"]},{"raw_affiliation_string":"TU Braunschweig;","institution_ids":["https://openalex.org/I94509681"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5023837629","display_name":"Christina R. Niethammer","orcid":null},"institutions":[{"id":"https://openalex.org/I189712700","display_name":"University of Konstanz","ror":"https://ror.org/0546hnb39","country_code":"DE","type":"education","lineage":["https://openalex.org/I189712700"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Christina R. Niethammer","raw_affiliation_strings":["Department of Mathematics and Statistics, University of Konstanz, 78464, Konstanz, Germany","University of Konstanz"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Statistics, University of Konstanz, 78464, Konstanz, Germany","institution_ids":["https://openalex.org/I189712700"]},{"raw_affiliation_string":"University of Konstanz","institution_ids":["https://openalex.org/I189712700"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5103188231"],"corresponding_institution_ids":["https://openalex.org/I94509681"],"apc_list":{"value":2090,"currency":"USD","value_usd":2090},"apc_paid":null,"fwci":2.9011,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.91415015,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"12","issue":"3","first_page":"381","last_page":"410"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"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":0.9990000128746033,"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":0.9977999925613403,"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":0.9927999973297119,"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/martingale","display_name":"Martingale (probability theory)","score":0.7802160978317261},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7788951396942139},{"id":"https://openalex.org/keywords/local-martingale","display_name":"Local martingale","score":0.775115966796875},{"id":"https://openalex.org/keywords/doobs-martingale-inequality","display_name":"Doob's martingale inequality","score":0.7643258571624756},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.7199190855026245},{"id":"https://openalex.org/keywords/martingale-pricing","display_name":"Martingale pricing","score":0.5935068726539612},{"id":"https://openalex.org/keywords/absolute-continuity","display_name":"Absolute continuity","score":0.5789692401885986},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.5671805739402771},{"id":"https://openalex.org/keywords/martingale-difference-sequence","display_name":"Martingale difference sequence","score":0.5636392831802368},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.514228105545044},{"id":"https://openalex.org/keywords/pure-mathematics","display_name":"Pure mathematics","score":0.21541988849639893},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.21375185251235962},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.08457523584365845},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.055329710245132446}],"concepts":[{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.7802160978317261},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7788951396942139},{"id":"https://openalex.org/C58435881","wikidata":"https://www.wikidata.org/wiki/Q1868500","display_name":"Local martingale","level":3,"score":0.775115966796875},{"id":"https://openalex.org/C185637853","wikidata":"https://www.wikidata.org/wiki/Q1242402","display_name":"Doob's martingale inequality","level":4,"score":0.7643258571624756},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.7199190855026245},{"id":"https://openalex.org/C76374431","wikidata":"https://www.wikidata.org/wiki/Q6777132","display_name":"Martingale pricing","level":4,"score":0.5935068726539612},{"id":"https://openalex.org/C118733216","wikidata":"https://www.wikidata.org/wiki/Q332504","display_name":"Absolute continuity","level":2,"score":0.5789692401885986},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.5671805739402771},{"id":"https://openalex.org/C30268764","wikidata":"https://www.wikidata.org/wiki/Q3707378","display_name":"Martingale difference sequence","level":3,"score":0.5636392831802368},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.514228105545044},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.21541988849639893},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.21375185251235962},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.08457523584365845},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.055329710245132446}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00780-008-0067-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-008-0067-7","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:12:y:2008:i:3:p:381-410","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-008-0067-7","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":[{"score":0.41999998688697815,"id":"https://metadata.un.org/sdg/10","display_name":"Reduced inequalities"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":20,"referenced_works":["https://openalex.org/W104314157","https://openalex.org/W1534416612","https://openalex.org/W1957765303","https://openalex.org/W1971132156","https://openalex.org/W1973185776","https://openalex.org/W1999121654","https://openalex.org/W2006795133","https://openalex.org/W2015856032","https://openalex.org/W2017392078","https://openalex.org/W2021721819","https://openalex.org/W2026147187","https://openalex.org/W2040677283","https://openalex.org/W2059698282","https://openalex.org/W2061422507","https://openalex.org/W2093118690","https://openalex.org/W2114102890","https://openalex.org/W2127141507","https://openalex.org/W2795413297","https://openalex.org/W2913853835","https://openalex.org/W3105365006"],"related_works":["https://openalex.org/W1978561097","https://openalex.org/W3123844941","https://openalex.org/W2996215962","https://openalex.org/W2358946586","https://openalex.org/W2040425860","https://openalex.org/W2335487262","https://openalex.org/W2013937202","https://openalex.org/W3123900559","https://openalex.org/W3126058886","https://openalex.org/W2158879245"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-08-21T09:56:20.448147","created_date":"2025-10-10T00:00:00"}
