{"id":"https://openalex.org/W4395689007","doi":"https://doi.org/10.1007/s10287-024-00514-1","title":"Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives","display_name":"Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives","publication_year":2024,"publication_date":"2024-04-27","ids":{"openalex":"https://openalex.org/W4395689007","doi":"https://doi.org/10.1007/s10287-024-00514-1"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-024-00514-1","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-024-00514-1","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/A5017042073","display_name":"Allan Jonathan da Silva","orcid":"https://orcid.org/0000-0001-9763-6395"},"institutions":[{"id":"https://openalex.org/I158509141","display_name":"Federal Center for Technological Education Celso Suckow da Fonseca","ror":"https://ror.org/03j8tnm47","country_code":"BR","type":"education","lineage":["https://openalex.org/I1293487690","https://openalex.org/I158509141","https://openalex.org/I2801200668"]},{"id":"https://openalex.org/I4210142352","display_name":"Laborat\u00f3rio Nacional de Computa\u00e7\u00e3o Cient\u00edfica","ror":"https://ror.org/0498ekt05","country_code":"BR","type":"government","lineage":["https://openalex.org/I4210142352"]}],"countries":["BR"],"is_corresponding":true,"raw_author_name":"Allan Jonathan da Silva","raw_affiliation_strings":["Coordination of Mathematical and Computational Methods, National Laboratory for Scientific Computing, Petr\u00f3polis, RJ, 25651-075, Brazil","Production Engineering Department, Federal Center for Technological Education Celso Suckow da Fonseca, Itagua\u00ed, RJ, 23812-101, Brazil"],"affiliations":[{"raw_affiliation_string":"Coordination of Mathematical and Computational Methods, National Laboratory for Scientific Computing, Petr\u00f3polis, RJ, 25651-075, Brazil","institution_ids":["https://openalex.org/I4210142352"]},{"raw_affiliation_string":"Production Engineering Department, Federal Center for Technological Education Celso Suckow da Fonseca, Itagua\u00ed, RJ, 23812-101, Brazil","institution_ids":["https://openalex.org/I158509141"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5055822980","display_name":"Jack Baczynski","orcid":"https://orcid.org/0000-0002-3096-3129"},"institutions":[{"id":"https://openalex.org/I4210142352","display_name":"Laborat\u00f3rio Nacional de Computa\u00e7\u00e3o Cient\u00edfica","ror":"https://ror.org/0498ekt05","country_code":"BR","type":"government","lineage":["https://openalex.org/I4210142352"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"Jack Baczynski","raw_affiliation_strings":["Coordination of Mathematical and Computational Methods, National Laboratory for Scientific Computing, Petr\u00f3polis, RJ, 25651-075, Brazil"],"affiliations":[{"raw_affiliation_string":"Coordination of Mathematical and Computational Methods, National Laboratory for Scientific Computing, Petr\u00f3polis, RJ, 25651-075, Brazil","institution_ids":["https://openalex.org/I4210142352"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5017042073"],"corresponding_institution_ids":["https://openalex.org/I158509141","https://openalex.org/I4210142352"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":1.1144,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.76899344,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":95},"biblio":{"volume":"21","issue":"1","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"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":0.9997000098228455,"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/T11720","display_name":"Probability and Risk Models","score":0.9635999798774719,"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"}},{"id":"https://openalex.org/T12100","display_name":"Advanced Mathematical Modeling in Engineering","score":0.953499972820282,"subfield":{"id":"https://openalex.org/subfields/1703","display_name":"Computational Theory and Mathematics"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/affine-transformation","display_name":"Affine transformation","score":0.7440212965011597},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.5877991318702698},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.5856404304504395},{"id":"https://openalex.org/keywords/diffusion","display_name":"Diffusion","score":0.5597086548805237},{"id":"https://openalex.org/keywords/path","display_name":"Path (computing)","score":0.5420016646385193},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5040194392204285},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4561353325843811},{"id":"https://openalex.org/keywords/path-dependent","display_name":"Path dependent","score":0.4461958706378937},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4293197989463806},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.37916576862335205},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3335121273994446},{"id":"https://openalex.org/keywords/thermodynamics","display_name":"Thermodynamics","score":0.200309157371521},{"id":"https://openalex.org/keywords/geometry","display_name":"Geometry","score":0.14994603395462036},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.1475076973438263}],"concepts":[{"id":"https://openalex.org/C92757383","wikidata":"https://www.wikidata.org/wiki/Q382497","display_name":"Affine transformation","level":2,"score":0.7440212965011597},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.5877991318702698},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.5856404304504395},{"id":"https://openalex.org/C69357855","wikidata":"https://www.wikidata.org/wiki/Q163214","display_name":"Diffusion","level":2,"score":0.5597086548805237},{"id":"https://openalex.org/C2777735758","wikidata":"https://www.wikidata.org/wiki/Q817765","display_name":"Path (computing)","level":2,"score":0.5420016646385193},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5040194392204285},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4561353325843811},{"id":"https://openalex.org/C3020054081","wikidata":"https://www.wikidata.org/wiki/Q1093521","display_name":"Path dependent","level":2,"score":0.4461958706378937},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4293197989463806},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.37916576862335205},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3335121273994446},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.200309157371521},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.14994603395462036},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.1475076973438263},{"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/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10287-024-00514-1","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-024-00514-1","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:21:y:2024:i:1:d:10.1007_s10287-024-00514-1","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-024-00514-1","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":[{"id":"https://openalex.org/G4276431513","display_name":null,"funder_award_id":"140840/2015-0","funder_id":"https://openalex.org/F4320322025","funder_display_name":"Conselho Nacional de Desenvolvimento Cient\u00edfico e Tecnol\u00f3gico"}],"funders":[{"id":"https://openalex.org/F4320322025","display_name":"Conselho Nacional de Desenvolvimento Cient\u00edfico e Tecnol\u00f3gico","ror":"https://ror.org/03swz6y49"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W297795963","https://openalex.org/W628062113","https://openalex.org/W1602773783","https://openalex.org/W1971789299","https://openalex.org/W1972935015","https://openalex.org/W1974288568","https://openalex.org/W2000151764","https://openalex.org/W2050067494","https://openalex.org/W2054553272","https://openalex.org/W2076057077","https://openalex.org/W2076754425","https://openalex.org/W2093267382","https://openalex.org/W2107193251","https://openalex.org/W2112722989","https://openalex.org/W2119703512","https://openalex.org/W2121476648","https://openalex.org/W2167698785","https://openalex.org/W2413409321","https://openalex.org/W2493876434","https://openalex.org/W2799488534","https://openalex.org/W2902981304","https://openalex.org/W2956064515","https://openalex.org/W3123321876","https://openalex.org/W3124798232","https://openalex.org/W3126056482","https://openalex.org/W4220986027","https://openalex.org/W4230835142","https://openalex.org/W4298224527","https://openalex.org/W4312286431","https://openalex.org/W4324285223","https://openalex.org/W4386136242","https://openalex.org/W4389762249","https://openalex.org/W4389998627"],"related_works":["https://openalex.org/W2648988829","https://openalex.org/W2507439616","https://openalex.org/W2352779812","https://openalex.org/W3124741583","https://openalex.org/W362430865","https://openalex.org/W2954755983","https://openalex.org/W2362743624","https://openalex.org/W3121278253","https://openalex.org/W2390566486","https://openalex.org/W3192755727"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1}],"updated_date":"2025-12-19T19:40:27.379048","created_date":"2025-10-10T00:00:00"}