{"id":"https://openalex.org/W2064546237","doi":"https://doi.org/10.1007/s780-002-8401-3","title":"Stochastic volatility, jumps and hidden time changes","display_name":"Stochastic volatility, jumps and hidden time changes","publication_year":2002,"publication_date":"2002-01-01","ids":{"openalex":"https://openalex.org/W2064546237","doi":"https://doi.org/10.1007/s780-002-8401-3","mag":"2064546237"},"language":"en","primary_location":{"id":"doi:10.1007/s780-002-8401-3","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s780-002-8401-3","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":null,"display_name":"H&#x000E9;lyette Geman","orcid":null},"institutions":[{"id":"https://openalex.org/I124261006","display_name":"\u00c9cole Sup\u00e9rieure des Sciences \u00c9conomiques et Commerciales","ror":"https://ror.org/02dga6j42","country_code":"FR","type":"other","lineage":["https://openalex.org/I124261006"]},{"id":"https://openalex.org/I204730241","display_name":"Universit\u00e9 Paris Cit\u00e9","ror":"https://ror.org/05f82e368","country_code":"FR","type":"education","lineage":["https://openalex.org/I204730241"]},{"id":"https://openalex.org/I4210142324","display_name":"CY Cergy Paris Universit\u00e9","ror":"https://ror.org/043htjv09","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210142324"]},{"id":"https://openalex.org/I56435720","display_name":"Universit\u00e9 Paris Dauphine-PSL","ror":"https://ror.org/052bz7812","country_code":"FR","type":"education","lineage":["https://openalex.org/I2746051580","https://openalex.org/I56435720"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"H&#x000E9;lyette Geman","raw_affiliation_strings":["University of Paris Dauphine and ESSEC, Finance Department, 95021 Cergy-Pontoise, France (e-mail: geman@dauphine.fr)\n, , , , , , FR","University of Paris Dauphine and ESSEC, Finance Department, 95021 Cergy-Pontoise, France (e-mail: geman@dauphine.fr) , FR"],"affiliations":[{"raw_affiliation_string":"University of Paris Dauphine and ESSEC, Finance Department, 95021 Cergy-Pontoise, France (e-mail: geman@dauphine.fr)\n, , , , , , FR","institution_ids":["https://openalex.org/I56435720","https://openalex.org/I4210142324","https://openalex.org/I124261006"]},{"raw_affiliation_string":"University of Paris Dauphine and ESSEC, Finance Department, 95021 Cergy-Pontoise, France (e-mail: geman@dauphine.fr) , FR","institution_ids":["https://openalex.org/I204730241","https://openalex.org/I4210142324"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5055008305","display_name":"Dilip B. Madan","orcid":"https://orcid.org/0000-0002-0033-9077"},"institutions":[{"id":"https://openalex.org/I66946132","display_name":"University of Maryland, College Park","ror":"https://ror.org/047s2c258","country_code":"US","type":"education","lineage":["https://openalex.org/I66946132"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Dilip B. Madan","raw_affiliation_strings":["Robert H. Smith School of Business, Van Munching Hall, University of Maryland, College Park, MD 20742, USA (e-mail:dbm@rhsmith.umd.edu)\n, , , , , , US","Robert H. Smith School of Business, Van Munching Hall, University of Maryland, College Park, MD 20742, USA (e-mail:dbm@rhsmith.umd.edu)#N#, , US"],"affiliations":[{"raw_affiliation_string":"Robert H. Smith School of Business, Van Munching Hall, University of Maryland, College Park, MD 20742, USA (e-mail:dbm@rhsmith.umd.edu)\n, , , , , , US","institution_ids":["https://openalex.org/I66946132"]},{"raw_affiliation_string":"Robert H. Smith School of Business, Van Munching Hall, University of Maryland, College Park, MD 20742, USA (e-mail:dbm@rhsmith.umd.edu)#N#, , US","institution_ids":["https://openalex.org/I66946132"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5113626385","display_name":"Marc Yor","orcid":null},"institutions":[{"id":"https://openalex.org/I39804081","display_name":"Sorbonne Universit\u00e9","ror":"https://ror.org/02en5vm52","country_code":"FR","type":"education","lineage":["https://openalex.org/I39804081"]},{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Marc Yor","raw_affiliation_strings":["Laboratoire de probabilit\u00e9s et Modeles al\u00e9atoires, Universit\u00e9 Pierre et Marie Curie, 4, Place Jussieu, 75252 Paris Cedex, France (e-mail: marc.yor@infonie.fr)\n, , , , , , FR","Laboratoire de probabilit\u00e9s et Modeles al\u00e9atoires, Universit\u00e9 Pierre et Marie Curie, 4, Place Jussieu, 75252 Paris Cedex, France (e-mail: marc.yor@infonie.fr)#N#, , FR"],"affiliations":[{"raw_affiliation_string":"Laboratoire de probabilit\u00e9s et Modeles al\u00e9atoires, Universit\u00e9 Pierre et Marie Curie, 4, Place Jussieu, 75252 Paris Cedex, France (e-mail: marc.yor@infonie.fr)\n, , , , , , FR","institution_ids":["https://openalex.org/I4210147464"]},{"raw_affiliation_string":"Laboratoire de probabilit\u00e9s et Modeles al\u00e9atoires, Universit\u00e9 Pierre et Marie Curie, 4, Place Jussieu, 75252 Paris Cedex, France (e-mail: marc.yor@infonie.fr)#N#, , FR","institution_ids":["https://openalex.org/I39804081"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I124261006","https://openalex.org/I204730241","https://openalex.org/I4210142324","https://openalex.org/I56435720"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":3.1907,"has_fulltext":false,"cited_by_count":42,"citation_normalized_percentile":{"value":0.92737903,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"6","issue":"1","first_page":"63","last_page":"90"},"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9973000288009644,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9944999814033508,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/subordinator","display_name":"Subordinator","score":0.9114988446235657},{"id":"https://openalex.org/keywords/quadratic-variation","display_name":"Quadratic variation","score":0.7642837762832642},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6017656326293945},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.550859808921814},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.5495012998580933},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.5291200876235962},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.5180666446685791},{"id":"https://openalex.org/keywords/wiener-process","display_name":"Wiener process","score":0.46864837408065796},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.468411386013031},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4560515880584717},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4436291456222534},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.417168527841568},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3913298547267914},{"id":"https://openalex.org/keywords/l\u00e9vy-process","display_name":"L\u00e9vy process","score":0.38947534561157227},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.25334489345550537},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.22907695174217224},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.17517539858818054},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.1728649139404297},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.0949733555316925},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.0933278501033783}],"concepts":[{"id":"https://openalex.org/C2781362121","wikidata":"https://www.wikidata.org/wiki/Q7631785","display_name":"Subordinator","level":3,"score":0.9114988446235657},{"id":"https://openalex.org/C90087638","wikidata":"https://www.wikidata.org/wiki/Q7268374","display_name":"Quadratic variation","level":3,"score":0.7642837762832642},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6017656326293945},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.550859808921814},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.5495012998580933},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.5291200876235962},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.5180666446685791},{"id":"https://openalex.org/C60391097","wikidata":"https://www.wikidata.org/wiki/Q1056809","display_name":"Wiener process","level":2,"score":0.46864837408065796},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.468411386013031},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4560515880584717},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4436291456222534},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.417168527841568},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3913298547267914},{"id":"https://openalex.org/C88757350","wikidata":"https://www.wikidata.org/wiki/Q1557613","display_name":"L\u00e9vy process","level":2,"score":0.38947534561157227},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.25334489345550537},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.22907695174217224},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.17517539858818054},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.1728649139404297},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0949733555316925},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0933278501033783},{"id":"https://openalex.org/C56739046","wikidata":"https://www.wikidata.org/wiki/Q192060","display_name":"Knowledge management","level":1,"score":0.0},{"id":"https://openalex.org/C3017618536","wikidata":"https://www.wikidata.org/wiki/Q304994","display_name":"Innovation diffusion","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s780-002-8401-3","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s780-002-8401-3","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:CiteSeerX.psu:10.1.1.203.2863","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.203.2863","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://mail3.rhsmith.umd.edu/Faculty/KM/papers.nsf/0864f52f22be7b9f852567eb006da644/26e087cc70fb5e8485256ce200722ca6//ymgfs.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Peace, Justice and strong institutions","id":"https://metadata.un.org/sdg/16","score":0.6600000262260437}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":21,"referenced_works":["https://openalex.org/W1571730760","https://openalex.org/W1585549506","https://openalex.org/W1980519218","https://openalex.org/W1989738013","https://openalex.org/W2010799156","https://openalex.org/W2025006397","https://openalex.org/W2027338865","https://openalex.org/W2028783611","https://openalex.org/W2037748810","https://openalex.org/W2045771933","https://openalex.org/W2064978316","https://openalex.org/W2081877251","https://openalex.org/W2100190417","https://openalex.org/W2103382933","https://openalex.org/W2129220488","https://openalex.org/W2138540172","https://openalex.org/W2148080284","https://openalex.org/W2148688139","https://openalex.org/W2484133566","https://openalex.org/W2797641211","https://openalex.org/W3021444882"],"related_works":["https://openalex.org/W2950462082","https://openalex.org/W2728855978","https://openalex.org/W2441436191","https://openalex.org/W1965060699","https://openalex.org/W3123303197","https://openalex.org/W2962918342","https://openalex.org/W2982303555","https://openalex.org/W3144148756","https://openalex.org/W3107492181","https://openalex.org/W4302320413"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-04-21T08:09:41.155169","created_date":"2025-10-10T00:00:00"}
