{"id":"https://openalex.org/W2066691318","doi":"https://doi.org/10.1007/s10287-012-0159-x","title":"Integer programs for margining option portfolios by option spreads with more than four legs","display_name":"Integer programs for margining option portfolios by option spreads with more than four legs","publication_year":2012,"publication_date":"2012-12-05","ids":{"openalex":"https://openalex.org/W2066691318","doi":"https://doi.org/10.1007/s10287-012-0159-x","mag":"2066691318"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-012-0159-x","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-012-0159-x","pdf_url":null,"source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"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":"Computational Management Science","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/A5084438906","display_name":"Dmytro Matsypura","orcid":"https://orcid.org/0000-0002-0824-4558"},"institutions":[{"id":"https://openalex.org/I129604602","display_name":"University of Sydney","ror":"https://ror.org/0384j8v12","country_code":"AU","type":"education","lineage":["https://openalex.org/I129604602"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"D. Matsypura","raw_affiliation_strings":["Discipline of Business Analytics, The University of Sydney, Sydney, NSW, \u00a02006, Australia","The University of Sydney"],"affiliations":[{"raw_affiliation_string":"Discipline of Business Analytics, The University of Sydney, Sydney, NSW, \u00a02006, Australia","institution_ids":["https://openalex.org/I129604602"]},{"raw_affiliation_string":"The University of Sydney","institution_ids":["https://openalex.org/I129604602"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5110175305","display_name":"Vadim G. Timkovsky","orcid":null},"institutions":[{"id":"https://openalex.org/I129604602","display_name":"University of Sydney","ror":"https://ror.org/0384j8v12","country_code":"AU","type":"education","lineage":["https://openalex.org/I129604602"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"V.G. Timkovsky","raw_affiliation_strings":["Discipline of Business Analytics, The University of Sydney, Sydney, NSW, \u00a02006, Australia","The University of Sydney"],"affiliations":[{"raw_affiliation_string":"Discipline of Business Analytics, The University of Sydney, Sydney, NSW, \u00a02006, Australia","institution_ids":["https://openalex.org/I129604602"]},{"raw_affiliation_string":"The University of Sydney","institution_ids":["https://openalex.org/I129604602"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5084438906"],"corresponding_institution_ids":["https://openalex.org/I129604602"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":0.7683,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.7933192,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"10","issue":"1","first_page":"51","last_page":"76"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9930999875068665,"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":0.9930999875068665,"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/T11976","display_name":"Capital Investment and Risk Analysis","score":0.982699990272522,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.9635000228881836,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/margin","display_name":"Margin (machine learning)","score":0.8082811832427979},{"id":"https://openalex.org/keywords/integer","display_name":"Integer (computer science)","score":0.6186123490333557},{"id":"https://openalex.org/keywords/call-option","display_name":"Call option","score":0.47478315234184265},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4601176083087921},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.44310641288757324},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.43363410234451294},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3392018675804138},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.320041298866272}],"concepts":[{"id":"https://openalex.org/C774472","wikidata":"https://www.wikidata.org/wiki/Q6760393","display_name":"Margin (machine learning)","level":2,"score":0.8082811832427979},{"id":"https://openalex.org/C97137487","wikidata":"https://www.wikidata.org/wiki/Q729138","display_name":"Integer (computer science)","level":2,"score":0.6186123490333557},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.47478315234184265},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4601176083087921},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.44310641288757324},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.43363410234451294},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3392018675804138},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.320041298866272},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","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}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10287-012-0159-x","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-012-0159-x","pdf_url":null,"source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"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":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:comgts:v:10:y:2013:i:1:p:51-76","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s10287-012-0159-x","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":18,"referenced_works":["https://openalex.org/W565608729","https://openalex.org/W1484817815","https://openalex.org/W1512086754","https://openalex.org/W1529085901","https://openalex.org/W1978628509","https://openalex.org/W1993617417","https://openalex.org/W1997790861","https://openalex.org/W2005173375","https://openalex.org/W2011463328","https://openalex.org/W2027236521","https://openalex.org/W2045279793","https://openalex.org/W2126861178","https://openalex.org/W2161612059","https://openalex.org/W2398152380","https://openalex.org/W3126076296","https://openalex.org/W3196544091","https://openalex.org/W4231267194","https://openalex.org/W4241638785"],"related_works":["https://openalex.org/W2902898608","https://openalex.org/W3201761445","https://openalex.org/W2353643864","https://openalex.org/W2375330752","https://openalex.org/W3121628527","https://openalex.org/W1984250087","https://openalex.org/W2943124786","https://openalex.org/W2736719625","https://openalex.org/W1969366736","https://openalex.org/W4385711789"],"abstract_inverted_index":null,"counts_by_year":[{"year":2022,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}