{"id":"https://openalex.org/W2806559781","doi":"https://doi.org/10.1007/s00780-018-0367-5","title":"Explosion in the quasi-Gaussian HJM model","display_name":"Explosion in the quasi-Gaussian HJM model","publication_year":2018,"publication_date":"2018-06-04","ids":{"openalex":"https://openalex.org/W2806559781","doi":"https://doi.org/10.1007/s00780-018-0367-5","mag":"2806559781"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-018-0367-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-018-0367-5","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/A5007027781","display_name":"Dan Pirjol","orcid":"https://orcid.org/0000-0002-0418-392X"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Dan Pirjol","raw_affiliation_strings":["J. P. Morgan, 277 Park Avenue, New York, NY, 10172, USA"],"affiliations":[{"raw_affiliation_string":"J. P. Morgan, 277 Park Avenue, New York, NY, 10172, USA","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103238499","display_name":"Lingjiong Zhu","orcid":"https://orcid.org/0000-0001-7595-160X"},"institutions":[{"id":"https://openalex.org/I103163165","display_name":"Florida State University","ror":"https://ror.org/05g3dte14","country_code":"US","type":"education","lineage":["https://openalex.org/I103163165"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Lingjiong Zhu","raw_affiliation_strings":["Department of Mathematics, Florida State University, 1017 Academic Way, Tallahassee, FL, 32306, USA"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Florida State University, 1017 Academic Way, Tallahassee, FL, 32306, USA","institution_ids":["https://openalex.org/I103163165"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5103238499"],"corresponding_institution_ids":["https://openalex.org/I103163165"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":0.3098,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.63401586,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"22","issue":"3","first_page":"643","last_page":"666"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"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":0.9995999932289124,"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":0.9961000084877014,"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":0.9832000136375427,"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/heath\u2013jarrow\u2013morton-framework","display_name":"Heath\u2013Jarrow\u2013Morton framework","score":0.9692606925964355},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.6226838827133179},{"id":"https://openalex.org/keywords/eurodollar","display_name":"Eurodollar","score":0.6133691072463989},{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.5763214826583862},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.5554340481758118},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5370326042175293},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.5011041164398193},{"id":"https://openalex.org/keywords/forward-rate","display_name":"Forward rate","score":0.48978471755981445},{"id":"https://openalex.org/keywords/affine-term-structure-model","display_name":"Affine term structure model","score":0.48922133445739746},{"id":"https://openalex.org/keywords/yield-curve","display_name":"Yield curve","score":0.4825679361820221},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.4694620668888092},{"id":"https://openalex.org/keywords/representation","display_name":"Representation (politics)","score":0.46912145614624023},{"id":"https://openalex.org/keywords/gaussian-process","display_name":"Gaussian process","score":0.46387776732444763},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.44005563855171204},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3594770133495331},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3581281006336212},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3414568305015564},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.23535147309303284},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.15163442492485046},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.14005881547927856},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.1266283392906189},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.10807815194129944}],"concepts":[{"id":"https://openalex.org/C187614132","wikidata":"https://www.wikidata.org/wiki/Q1563747","display_name":"Heath\u2013Jarrow\u2013Morton framework","level":3,"score":0.9692606925964355},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.6226838827133179},{"id":"https://openalex.org/C2778108091","wikidata":"https://www.wikidata.org/wiki/Q1374984","display_name":"Eurodollar","level":3,"score":0.6133691072463989},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.5763214826583862},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.5554340481758118},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5370326042175293},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5011041164398193},{"id":"https://openalex.org/C128263813","wikidata":"https://www.wikidata.org/wiki/Q6588953","display_name":"Forward rate","level":3,"score":0.48978471755981445},{"id":"https://openalex.org/C40753778","wikidata":"https://www.wikidata.org/wiki/Q4688953","display_name":"Affine term structure model","level":4,"score":0.48922133445739746},{"id":"https://openalex.org/C176230804","wikidata":"https://www.wikidata.org/wiki/Q205257","display_name":"Yield curve","level":3,"score":0.4825679361820221},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.4694620668888092},{"id":"https://openalex.org/C2776359362","wikidata":"https://www.wikidata.org/wiki/Q2145286","display_name":"Representation (politics)","level":3,"score":0.46912145614624023},{"id":"https://openalex.org/C61326573","wikidata":"https://www.wikidata.org/wiki/Q1496376","display_name":"Gaussian process","level":3,"score":0.46387776732444763},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.44005563855171204},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3594770133495331},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3581281006336212},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3414568305015564},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.23535147309303284},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.15163442492485046},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.14005881547927856},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.1266283392906189},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10807815194129944},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00780-018-0367-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-018-0367-5","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:22:y:2018:i:3:d:10.1007_s00780-018-0367-5","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00780-018-0367-5","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":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":32,"referenced_works":["https://openalex.org/W69337820","https://openalex.org/W110982455","https://openalex.org/W193381714","https://openalex.org/W623509844","https://openalex.org/W1493488149","https://openalex.org/W1495300906","https://openalex.org/W1523471994","https://openalex.org/W1537005355","https://openalex.org/W1552480460","https://openalex.org/W1577527822","https://openalex.org/W1579485993","https://openalex.org/W1580561995","https://openalex.org/W1850550408","https://openalex.org/W1974975963","https://openalex.org/W1983489597","https://openalex.org/W2029532111","https://openalex.org/W2035059426","https://openalex.org/W2038471468","https://openalex.org/W2051464134","https://openalex.org/W2056974231","https://openalex.org/W2170444200","https://openalex.org/W2278399019","https://openalex.org/W2322019262","https://openalex.org/W2424893739","https://openalex.org/W2427776485","https://openalex.org/W2548622653","https://openalex.org/W2572955172","https://openalex.org/W2750427974","https://openalex.org/W3122203501","https://openalex.org/W3125660228","https://openalex.org/W3139998158","https://openalex.org/W4242435873"],"related_works":["https://openalex.org/W4235656341","https://openalex.org/W2087391371","https://openalex.org/W2040932252","https://openalex.org/W2048775905","https://openalex.org/W1578890369","https://openalex.org/W2297487609","https://openalex.org/W3125718211","https://openalex.org/W2153934129","https://openalex.org/W3021217781","https://openalex.org/W3125423182"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2021,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}