{"id":"https://openalex.org/W2050888606","doi":"https://doi.org/10.1007/s00780-011-0158-8","title":"Tangent L\u00e9vy market models","display_name":"Tangent L\u00e9vy market models","publication_year":2011,"publication_date":"2011-05-16","ids":{"openalex":"https://openalex.org/W2050888606","doi":"https://doi.org/10.1007/s00780-011-0158-8","mag":"2050888606"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-011-0158-8","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-011-0158-8","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/A5057846027","display_name":"Ren\u00e9 Carmona","orcid":"https://orcid.org/0000-0003-1359-711X"},"institutions":[{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Ren\u00e9 Carmona","raw_affiliation_strings":["Bendheim Center for Finance, ORFE, Princeton University, Princeton, NJ, 08544, USA","Princeton University#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Bendheim Center for Finance, ORFE, Princeton University, Princeton, NJ, 08544, USA","institution_ids":["https://openalex.org/I20089843"]},{"raw_affiliation_string":"Princeton University#TAB#","institution_ids":["https://openalex.org/I20089843"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5039610130","display_name":"Sergey Nadtochiy","orcid":"https://orcid.org/0000-0003-2624-5033"},"institutions":[{"id":"https://openalex.org/I40120149","display_name":"University of Oxford","ror":"https://ror.org/052gg0110","country_code":"GB","type":"education","lineage":["https://openalex.org/I40120149"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Sergey Nadtochiy","raw_affiliation_strings":["Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK","University of Oxford"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK","institution_ids":["https://openalex.org/I40120149"]},{"raw_affiliation_string":"University of Oxford","institution_ids":["https://openalex.org/I40120149"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5057846027"],"corresponding_institution_ids":["https://openalex.org/I20089843"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":3.4255,"has_fulltext":false,"cited_by_count":21,"citation_normalized_percentile":{"value":0.9294838,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"16","issue":"1","first_page":"63","last_page":"104"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"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":0.9998000264167786,"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":0.9789000153541565,"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/T10588","display_name":"Mathematical Dynamics and Fractals","score":0.9779000282287598,"subfield":{"id":"https://openalex.org/subfields/2610","display_name":"Mathematical Physics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/tangent-space","display_name":"Tangent space","score":0.5622734427452087},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.5591534376144409},{"id":"https://openalex.org/keywords/tangent","display_name":"Tangent","score":0.5426919460296631},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5215306282043457},{"id":"https://openalex.org/keywords/l\u00e9vy-process","display_name":"L\u00e9vy process","score":0.48377367854118347},{"id":"https://openalex.org/keywords/code","display_name":"Code (set theory)","score":0.4833073616027832},{"id":"https://openalex.org/keywords/class","display_name":"Class (philosophy)","score":0.45940983295440674},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.44255509972572327},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.440887451171875},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4362082779407501},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.39795440435409546},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.32383662462234497},{"id":"https://openalex.org/keywords/set","display_name":"Set (abstract data type)","score":0.3083643317222595},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.2669275403022766},{"id":"https://openalex.org/keywords/pure-mathematics","display_name":"Pure mathematics","score":0.2516254186630249},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.23180913925170898},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.14757040143013}],"concepts":[{"id":"https://openalex.org/C157157409","wikidata":"https://www.wikidata.org/wiki/Q909601","display_name":"Tangent space","level":2,"score":0.5622734427452087},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.5591534376144409},{"id":"https://openalex.org/C138187205","wikidata":"https://www.wikidata.org/wiki/Q131251","display_name":"Tangent","level":2,"score":0.5426919460296631},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5215306282043457},{"id":"https://openalex.org/C88757350","wikidata":"https://www.wikidata.org/wiki/Q1557613","display_name":"L\u00e9vy process","level":2,"score":0.48377367854118347},{"id":"https://openalex.org/C2776760102","wikidata":"https://www.wikidata.org/wiki/Q5139990","display_name":"Code (set theory)","level":3,"score":0.4833073616027832},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.45940983295440674},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.44255509972572327},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.440887451171875},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4362082779407501},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.39795440435409546},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.32383662462234497},{"id":"https://openalex.org/C177264268","wikidata":"https://www.wikidata.org/wiki/Q1514741","display_name":"Set (abstract data type)","level":2,"score":0.3083643317222595},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2669275403022766},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.2516254186630249},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.23180913925170898},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.14757040143013},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1007/s00780-011-0158-8","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-011-0158-8","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:CiteSeerX.psu:10.1.1.380.7100","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.380.7100","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www-personal.umich.edu/~sergeyn/papers/TLM_3.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.380.8476","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.380.8476","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.princeton.edu/~rcarmona/download/fe/TLM_revision.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:spr:finsto:v:16:y:2012:i:1:p:63-104","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-011-0158-8","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":42,"referenced_works":["https://openalex.org/W104454400","https://openalex.org/W135763904","https://openalex.org/W180295862","https://openalex.org/W578766863","https://openalex.org/W1243637066","https://openalex.org/W1480459000","https://openalex.org/W1490692428","https://openalex.org/W1499969990","https://openalex.org/W1534145457","https://openalex.org/W1542004730","https://openalex.org/W1574366603","https://openalex.org/W1661219383","https://openalex.org/W1977522450","https://openalex.org/W1980519218","https://openalex.org/W1995522593","https://openalex.org/W2011881037","https://openalex.org/W2028917576","https://openalex.org/W2068761599","https://openalex.org/W2076413328","https://openalex.org/W2081063124","https://openalex.org/W2081877251","https://openalex.org/W2090335931","https://openalex.org/W2103975365","https://openalex.org/W2116285217","https://openalex.org/W2136926358","https://openalex.org/W2138540172","https://openalex.org/W2143118268","https://openalex.org/W2147631167","https://openalex.org/W2151065060","https://openalex.org/W2304736482","https://openalex.org/W2797641211","https://openalex.org/W3122167020","https://openalex.org/W3122250151","https://openalex.org/W3123485991","https://openalex.org/W3123655054","https://openalex.org/W3125005290","https://openalex.org/W3125090498","https://openalex.org/W4256347648","https://openalex.org/W4285719527","https://openalex.org/W4292295000","https://openalex.org/W4293092461","https://openalex.org/W4300475775"],"related_works":["https://openalex.org/W2361271799","https://openalex.org/W2577818139","https://openalex.org/W47544861","https://openalex.org/W3094105199","https://openalex.org/W123898865","https://openalex.org/W4386492648","https://openalex.org/W2912635026","https://openalex.org/W4249328994","https://openalex.org/W2391887161","https://openalex.org/W2358302317"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":2},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":3}],"updated_date":"2026-06-19T15:47:20.252518","created_date":"2025-10-10T00:00:00"}