{"id":"https://openalex.org/W2731848344","doi":"https://doi.org/10.1007/s10479-018-2881-4","title":"Hilbert transform, spectral filters and option pricing","display_name":"Hilbert transform, spectral filters and option pricing","publication_year":2018,"publication_date":"2018-05-14","ids":{"openalex":"https://openalex.org/W2731848344","doi":"https://doi.org/10.1007/s10479-018-2881-4","mag":"2731848344"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-018-2881-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-018-2881-4","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"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":"Annals of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1706.09755","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5059379332","display_name":"Carolyn E. Phelan","orcid":"https://orcid.org/0000-0001-6500-6954"},"institutions":[{"id":"https://openalex.org/I45129253","display_name":"University College London","ror":"https://ror.org/02jx3x895","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I45129253"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Carolyn E. Phelan","raw_affiliation_strings":["Department of Computer Science, University College London, London, UK"],"raw_orcid":"https://orcid.org/0000-0001-6500-6954","affiliations":[{"raw_affiliation_string":"Department of Computer Science, University College London, London, UK","institution_ids":["https://openalex.org/I45129253"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5070154051","display_name":"Daniele Marazzina","orcid":"https://orcid.org/0000-0001-6107-9822"},"institutions":[{"id":"https://openalex.org/I123338534","display_name":"Universit\u00e0 degli Studi del Piemonte Orientale \u201cAmedeo Avogadro\u201d","ror":"https://ror.org/04387x656","country_code":"IT","type":"education","lineage":["https://openalex.org/I123338534"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Daniele Marazzina","raw_affiliation_strings":["Dipartimento di Studi per l\u2019Economia e l\u2019Impresa (DiSEI), Universit\u00e0 del Piemonte Orientale \u201cAmedeo Avogadro\u201d, Novara, Italy","Dipartimento di Studi per l'Economia e l'Impresa (DiSEI), Universit\u00e0 del Piemonte Orientale \"Amedeo Avogadro\", Novara, Italy"],"raw_orcid":"https://orcid.org/0000-0001-6107-9822","affiliations":[{"raw_affiliation_string":"Dipartimento di Studi per l\u2019Economia e l\u2019Impresa (DiSEI), Universit\u00e0 del Piemonte Orientale \u201cAmedeo Avogadro\u201d, Novara, Italy","institution_ids":["https://openalex.org/I123338534"]},{"raw_affiliation_string":"Dipartimento di Studi per l'Economia e l'Impresa (DiSEI), Universit\u00e0 del Piemonte Orientale \"Amedeo Avogadro\", Novara, Italy","institution_ids":["https://openalex.org/I123338534"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5085578210","display_name":"Gianluca Fusai","orcid":"https://orcid.org/0000-0001-9215-2586"},"institutions":[{"id":"https://openalex.org/I180825142","display_name":"City, University of London","ror":"https://ror.org/04489at23","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I180825142"]},{"id":"https://openalex.org/I93860229","display_name":"Politecnico di Milano","ror":"https://ror.org/01nffqt88","country_code":"IT","type":"education","lineage":["https://openalex.org/I93860229"]}],"countries":["GB","IT"],"is_corresponding":false,"raw_author_name":"Gianluca Fusai","raw_affiliation_strings":["Dipartimento di Matematica, Politecnico di Milano, Milan, Italy","Faculty of Finance, Cass Business School, City, University of London, London, UK"],"raw_orcid":"https://orcid.org/0000-0001-9215-2586","affiliations":[{"raw_affiliation_string":"Dipartimento di Matematica, Politecnico di Milano, Milan, Italy","institution_ids":["https://openalex.org/I93860229"]},{"raw_affiliation_string":"Faculty of Finance, Cass Business School, City, University of London, London, UK","institution_ids":["https://openalex.org/I180825142"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066615785","display_name":"Guido Germano","orcid":"https://orcid.org/0000-0003-4441-9842"},"institutions":[{"id":"https://openalex.org/I4210155202","display_name":"Systemic Risk Centre","ror":"https://ror.org/05d88z031","country_code":"GB","type":"other","lineage":["https://openalex.org/I124357947","https://openalex.org/I4210155202","https://openalex.org/I909854389"]},{"id":"https://openalex.org/I45129253","display_name":"University College London","ror":"https://ror.org/02jx3x895","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I45129253"]},{"id":"https://openalex.org/I909854389","display_name":"London School of Economics and Political Science","ror":"https://ror.org/0090zs177","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I909854389"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Guido Germano","raw_affiliation_strings":["Department of Computer Science, University College London, London, UK","Systemic Risk Centre, London School of Economics and Political Science, London, UK"],"raw_orcid":"https://orcid.org/0000-0003-4441-9842","affiliations":[{"raw_affiliation_string":"Department of Computer Science, University College London, London, UK","institution_ids":["https://openalex.org/I45129253"]},{"raw_affiliation_string":"Systemic Risk Centre, London School of Economics and Political Science, London, UK","institution_ids":["https://openalex.org/I4210155202","https://openalex.org/I909854389"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5059379332"],"corresponding_institution_ids":["https://openalex.org/I45129253"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":4.3654,"has_fulltext":false,"cited_by_count":29,"citation_normalized_percentile":{"value":0.94082614,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"282","issue":"1-2","first_page":"273","last_page":"298"},"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":0.9932000041007996,"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":0.9812999963760376,"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/sinc-function","display_name":"Sinc function","score":0.6606918573379517},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6602966785430908},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5466766953468323},{"id":"https://openalex.org/keywords/maxima-and-minima","display_name":"Maxima and minima","score":0.5082194805145264},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.4992787837982178},{"id":"https://openalex.org/keywords/fourier-transform","display_name":"Fourier transform","score":0.4885174036026001},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.44437381625175476},{"id":"https://openalex.org/keywords/filter","display_name":"Filter (signal processing)","score":0.4254522919654846},{"id":"https://openalex.org/keywords/polynomial","display_name":"Polynomial","score":0.4107092022895813},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.3560332953929901},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.1959977149963379}],"concepts":[{"id":"https://openalex.org/C152303783","wikidata":"https://www.wikidata.org/wiki/Q855949","display_name":"Sinc function","level":2,"score":0.6606918573379517},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6602966785430908},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5466766953468323},{"id":"https://openalex.org/C186633575","wikidata":"https://www.wikidata.org/wiki/Q845060","display_name":"Maxima and minima","level":2,"score":0.5082194805145264},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.4992787837982178},{"id":"https://openalex.org/C102519508","wikidata":"https://www.wikidata.org/wiki/Q6520159","display_name":"Fourier transform","level":2,"score":0.4885174036026001},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.44437381625175476},{"id":"https://openalex.org/C106131492","wikidata":"https://www.wikidata.org/wiki/Q3072260","display_name":"Filter (signal processing)","level":2,"score":0.4254522919654846},{"id":"https://openalex.org/C90119067","wikidata":"https://www.wikidata.org/wiki/Q43260","display_name":"Polynomial","level":2,"score":0.4107092022895813},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.3560332953929901},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.1959977149963379},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C31972630","wikidata":"https://www.wikidata.org/wiki/Q844240","display_name":"Computer vision","level":1,"score":0.0}],"mesh":[],"locations_count":9,"locations":[{"id":"doi:10.1007/s10479-018-2881-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-018-2881-4","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"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":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:openaccess.city.ac.uk:20052","is_oa":false,"landing_page_url":"https://openaccess.city.ac.uk/view/creators_id/gianluca=2Efusai=2E1.html>","pdf_url":null,"source":{"id":"https://openalex.org/S4306401940","display_name":"City Research Online (City University London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I180825142","host_organization_name":"City, University of London","host_organization_lineage":["https://openalex.org/I180825142"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"PeerReviewed"},{"id":"pmh:oai:arXiv.org:1706.09755","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1706.09755","pdf_url":"https://arxiv.org/pdf/1706.09755","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"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":"text"},{"id":"pmh:oai:RePEc:arx:papers:1706.09755","is_oa":false,"landing_page_url":null,"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":"preprint"},{"id":"pmh:oai:RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2881-4","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-018-2881-4","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"},{"id":"pmh:oai:eprints.lse.ac.uk:100978","is_oa":false,"landing_page_url":"http://eprints.lse.ac.uk/100978/","pdf_url":null,"source":{"id":"https://openalex.org/S4306401593","display_name":"London School of Economics and Political Science Research Online (London School of Economics and Political Science)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I909854389","host_organization_name":"London School of Economics and Political Science","host_organization_lineage":["https://openalex.org/I909854389"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"},{"id":"pmh:oai:eprints.ucl.ac.uk.OAI2:10075377","is_oa":false,"landing_page_url":"https://discovery.ucl.ac.uk/id/eprint/10075377/","pdf_url":null,"source":{"id":"https://openalex.org/S4306400024","display_name":"UCL Discovery (University College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I45129253","host_organization_name":"University College London","host_organization_lineage":["https://openalex.org/I45129253"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"   Annals of Operations Research       (2019)     (In press).  ","raw_type":"Article"},{"id":"pmh:oai:eprints.ucl.ac.uk.OAI2:1570654","is_oa":false,"landing_page_url":"http://discovery.ucl.ac.uk/1570654/","pdf_url":null,"source":{"id":"https://openalex.org/S4306400024","display_name":"UCL Discovery (University College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I45129253","host_organization_name":"University College London","host_organization_lineage":["https://openalex.org/I45129253"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"   Annals of Operations Research     pp. 1-26.   (2018)     (In press).  ","raw_type":"Article"},{"id":"pmh:oai:re.public.polimi.it:11311/1056258","is_oa":true,"landing_page_url":"https://link.springer.com/article/10.1007/s10479-018-2881-4","pdf_url":null,"source":{"id":"https://openalex.org/S4306400312","display_name":"Virtual Community of Pathological Anatomy (University of Castilla La Mancha)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I79189158","host_organization_name":"University of Castilla-La Mancha","host_organization_lineage":["https://openalex.org/I79189158"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1706.09755","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1706.09755","pdf_url":"https://arxiv.org/pdf/1706.09755","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"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":"text"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1844061666","display_name":null,"funder_award_id":"ES/K002309/1","funder_id":"https://openalex.org/F4320334630","funder_display_name":"Economic and Social Research Council"},{"id":"https://openalex.org/G8430814231","display_name":"Systemic Risk Centre","funder_award_id":"ES/K002309/1","funder_id":"https://openalex.org/F4320334630","funder_display_name":"Economic and Social Research Council"}],"funders":[{"id":"https://openalex.org/F4320334630","display_name":"Economic and Social Research Council","ror":"https://ror.org/03n0ht308"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":50,"referenced_works":["https://openalex.org/W372724554","https://openalex.org/W613415755","https://openalex.org/W1480459000","https://openalex.org/W1516955418","https://openalex.org/W1805381866","https://openalex.org/W1964699038","https://openalex.org/W1975229625","https://openalex.org/W1980519218","https://openalex.org/W1982018935","https://openalex.org/W1988893020","https://openalex.org/W1995356931","https://openalex.org/W1996466655","https://openalex.org/W1998299834","https://openalex.org/W2002530172","https://openalex.org/W2006763798","https://openalex.org/W2013419272","https://openalex.org/W2064978316","https://openalex.org/W2071632439","https://openalex.org/W2079491906","https://openalex.org/W2090567762","https://openalex.org/W2093047882","https://openalex.org/W2096070062","https://openalex.org/W2104633083","https://openalex.org/W2116919581","https://openalex.org/W2138540172","https://openalex.org/W2147061613","https://openalex.org/W2148688139","https://openalex.org/W2151065060","https://openalex.org/W2158397554","https://openalex.org/W2167651376","https://openalex.org/W2167698785","https://openalex.org/W2172108608","https://openalex.org/W2184018645","https://openalex.org/W2187278878","https://openalex.org/W2241032982","https://openalex.org/W2752932982","https://openalex.org/W2788277701","https://openalex.org/W3121747801","https://openalex.org/W3122167020","https://openalex.org/W3123129641","https://openalex.org/W3125011643","https://openalex.org/W3142517368","https://openalex.org/W4230707513","https://openalex.org/W4247340585","https://openalex.org/W4249676513","https://openalex.org/W4293185733","https://openalex.org/W4293860788","https://openalex.org/W6618999262","https://openalex.org/W6794894074","https://openalex.org/W6917786135"],"related_works":["https://openalex.org/W1979693299","https://openalex.org/W2184738069","https://openalex.org/W2385915439","https://openalex.org/W3212775635","https://openalex.org/W2376137830","https://openalex.org/W2375684291","https://openalex.org/W4283367777","https://openalex.org/W4389473778","https://openalex.org/W4309796328","https://openalex.org/W2012136333"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":7},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2020-11-23T00:00:00"}
