{"id":"https://openalex.org/W1969188538","doi":"https://doi.org/10.1007/s00780-011-0163-y","title":"Forward rate models with linear volatilities","display_name":"Forward rate models with linear volatilities","publication_year":2011,"publication_date":"2011-11-24","ids":{"openalex":"https://openalex.org/W1969188538","doi":"https://doi.org/10.1007/s00780-011-0163-y","mag":"1969188538"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-011-0163-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-011-0163-y","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/A5058038024","display_name":"Micha\u0142 Barski","orcid":"https://orcid.org/0000-0002-9529-2725"},"institutions":[{"id":"https://openalex.org/I69984877","display_name":"Cardinal Stefan Wyszynski University in Warsaw","ror":"https://ror.org/05sdyjv16","country_code":"PL","type":"education","lineage":["https://openalex.org/I69984877"]},{"id":"https://openalex.org/I926574661","display_name":"Leipzig University","ror":"https://ror.org/03s7gtk40","country_code":"DE","type":"education","lineage":["https://openalex.org/I926574661"]}],"countries":["DE","PL"],"is_corresponding":true,"raw_author_name":"Micha\u0142 Barski","raw_affiliation_strings":["Faculty of Mathematics and Computer Science, University of Leipzig, Leipzig, Germany","Faculty of Mathematics, Cardinal Stefan Wyszy\u0144ski University in Warsaw, Warsaw, Poland","Cardinal Stefan Wyszy\u0144ski University in Warsaw","University of Leipzig"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Mathematics and Computer Science, University of Leipzig, Leipzig, Germany","institution_ids":["https://openalex.org/I926574661"]},{"raw_affiliation_string":"Faculty of Mathematics, Cardinal Stefan Wyszy\u0144ski University in Warsaw, Warsaw, Poland","institution_ids":["https://openalex.org/I69984877"]},{"raw_affiliation_string":"Cardinal Stefan Wyszy\u0144ski University in Warsaw","institution_ids":["https://openalex.org/I69984877"]},{"raw_affiliation_string":"University of Leipzig","institution_ids":["https://openalex.org/I926574661"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5082429225","display_name":"Jerzy Zabczyk","orcid":null},"institutions":[{"id":"https://openalex.org/I4210137370","display_name":"Institute of Mathematics","ror":"https://ror.org/04hrrh248","country_code":"PL","type":"facility","lineage":["https://openalex.org/I4210137370","https://openalex.org/I99542240"]},{"id":"https://openalex.org/I99542240","display_name":"Polish Academy of Sciences","ror":"https://ror.org/01dr6c206","country_code":"PL","type":"government","lineage":["https://openalex.org/I99542240"]}],"countries":["PL"],"is_corresponding":false,"raw_author_name":"Jerzy Zabczyk","raw_affiliation_strings":["Institute of Mathematics, Polish Academy of Sciences, Warsaw, Poland",", Polish Academy of Sciences"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Mathematics, Polish Academy of Sciences, Warsaw, Poland","institution_ids":["https://openalex.org/I4210137370","https://openalex.org/I99542240"]},{"raw_affiliation_string":", Polish Academy of Sciences","institution_ids":["https://openalex.org/I99542240"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5058038024"],"corresponding_institution_ids":["https://openalex.org/I69984877","https://openalex.org/I926574661"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":1.2828,"has_fulltext":false,"cited_by_count":32,"citation_normalized_percentile":{"value":0.83484139,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":100},"biblio":{"volume":"16","issue":"3","first_page":"537","last_page":"560"},"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":0.9941999912261963,"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/T11152","display_name":"Stochastic processes and statistical mechanics","score":0.9728999733924866,"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/mathematical-finance","display_name":"Mathematical finance","score":0.7282308340072632},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6332047581672668},{"id":"https://openalex.org/keywords/exponent","display_name":"Exponent","score":0.6228662729263306},{"id":"https://openalex.org/keywords/laplace-transform","display_name":"Laplace transform","score":0.6103464365005493},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5853099822998047},{"id":"https://openalex.org/keywords/l\u00e9vy-process","display_name":"L\u00e9vy process","score":0.568025529384613},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.5130628347396851},{"id":"https://openalex.org/keywords/bounded-function","display_name":"Bounded function","score":0.508899450302124},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4987931251525879},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.47481095790863037},{"id":"https://openalex.org/keywords/infinity","display_name":"Infinity","score":0.4281136393547058},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.37064018845558167},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.33345258235931396},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.2884281575679779},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.17773306369781494},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.16924411058425903},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.1356269121170044},{"id":"https://openalex.org/keywords/quantum-mechanics","display_name":"Quantum mechanics","score":0.0655888020992279}],"concepts":[{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.7282308340072632},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6332047581672668},{"id":"https://openalex.org/C2780388253","wikidata":"https://www.wikidata.org/wiki/Q5421508","display_name":"Exponent","level":2,"score":0.6228662729263306},{"id":"https://openalex.org/C97937538","wikidata":"https://www.wikidata.org/wiki/Q199691","display_name":"Laplace transform","level":2,"score":0.6103464365005493},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5853099822998047},{"id":"https://openalex.org/C88757350","wikidata":"https://www.wikidata.org/wiki/Q1557613","display_name":"L\u00e9vy process","level":2,"score":0.568025529384613},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.5130628347396851},{"id":"https://openalex.org/C34388435","wikidata":"https://www.wikidata.org/wiki/Q2267362","display_name":"Bounded function","level":2,"score":0.508899450302124},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4987931251525879},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.47481095790863037},{"id":"https://openalex.org/C7321624","wikidata":"https://www.wikidata.org/wiki/Q205","display_name":"Infinity","level":2,"score":0.4281136393547058},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.37064018845558167},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.33345258235931396},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.2884281575679779},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.17773306369781494},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.16924411058425903},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.1356269121170044},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0655888020992279},{"id":"https://openalex.org/C41895202","wikidata":"https://www.wikidata.org/wiki/Q8162","display_name":"Linguistics","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00780-011-0163-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-011-0163-y","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:16:y:2012:i:3:p:537-560","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-011-0163-y","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":[{"id":"https://openalex.org/F4320322733","display_name":"Ministerstwo Edukacji i Nauki","ror":"https://ror.org/05dwvd537"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":21,"referenced_works":["https://openalex.org/W23454104","https://openalex.org/W193381714","https://openalex.org/W306036246","https://openalex.org/W1591798773","https://openalex.org/W1995522593","https://openalex.org/W1999354010","https://openalex.org/W2018603440","https://openalex.org/W2047667386","https://openalex.org/W2052434703","https://openalex.org/W2081063124","https://openalex.org/W2087367740","https://openalex.org/W2117202489","https://openalex.org/W2170444200","https://openalex.org/W2285227284","https://openalex.org/W2736967922","https://openalex.org/W2751862591","https://openalex.org/W2797641211","https://openalex.org/W3124902271","https://openalex.org/W4236324996","https://openalex.org/W4256711960","https://openalex.org/W4299432846"],"related_works":["https://openalex.org/W2306553012","https://openalex.org/W4251417359","https://openalex.org/W2381059884","https://openalex.org/W4229993731","https://openalex.org/W2372756075","https://openalex.org/W1979193983","https://openalex.org/W2220405813","https://openalex.org/W1821795854","https://openalex.org/W2954671050","https://openalex.org/W2078274926"],"abstract_inverted_index":null,"counts_by_year":[{"year":2020,"cited_by_count":27},{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-06-15T08:34:33.830935","created_date":"2025-10-10T00:00:00"}
