{"id":"https://openalex.org/W2562973937","doi":"https://doi.org/10.1016/j.cam.2016.12.040","title":"Clustered L\u00e9vy processes and their financial applications","display_name":"Clustered L\u00e9vy processes and their financial applications","publication_year":2017,"publication_date":"2017-01-16","ids":{"openalex":"https://openalex.org/W2562973937","doi":"https://doi.org/10.1016/j.cam.2016.12.040","mag":"2562973937"},"language":"en","primary_location":{"id":"doi:10.1016/j.cam.2016.12.040","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.cam.2016.12.040","pdf_url":null,"source":{"id":"https://openalex.org/S165473669","display_name":"Journal of Computational and Applied Mathematics","issn_l":"0377-0427","issn":["0377-0427","1879-1778"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"publisher-specific-oa","license_id":"https://openalex.org/licenses/publisher-specific-oa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Computational and Applied Mathematics","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/A5067555843","display_name":"Donatien Hainaut","orcid":"https://orcid.org/0000-0002-7288-4808"},"institutions":[{"id":"https://openalex.org/I95674353","display_name":"UCLouvain","ror":"https://ror.org/02495e989","country_code":"BE","type":"education","lineage":["https://openalex.org/I95674353"]}],"countries":["BE"],"is_corresponding":true,"raw_author_name":"Donatien Hainaut","raw_affiliation_strings":["ISBA, dpt of Actuarial Sciences, Universit\u00e9 Catholique de Louvain, Belgium"],"affiliations":[{"raw_affiliation_string":"ISBA, dpt of Actuarial Sciences, Universit\u00e9 Catholique de Louvain, Belgium","institution_ids":["https://openalex.org/I95674353"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5067555843"],"corresponding_institution_ids":["https://openalex.org/I95674353"],"apc_list":{"value":3040,"currency":"USD","value_usd":3040},"apc_paid":null,"fwci":1.6987,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":{"value":0.84973618,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"319","issue":null,"first_page":"117","last_page":"140"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"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":0.9994999766349792,"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":0.995199978351593,"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":0.9945999979972839,"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/mathematics","display_name":"Mathematics","score":0.7135242223739624},{"id":"https://openalex.org/keywords/l\u00e9vy-process","display_name":"L\u00e9vy process","score":0.6995938420295715},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.603475034236908},{"id":"https://openalex.org/keywords/bivariate-analysis","display_name":"Bivariate analysis","score":0.5874375104904175},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.5023336410522461},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4765910804271698},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.4637243449687958},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.45754310488700867},{"id":"https://openalex.org/keywords/moment-generating-function","display_name":"Moment-generating function","score":0.4550813138484955},{"id":"https://openalex.org/keywords/moment","display_name":"Moment (physics)","score":0.4487780034542084},{"id":"https://openalex.org/keywords/affine-transformation","display_name":"Affine transformation","score":0.44861286878585815},{"id":"https://openalex.org/keywords/parametric-statistics","display_name":"Parametric statistics","score":0.4469793438911438},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4227112829685211},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.3798332214355469},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.36627644300460815},{"id":"https://openalex.org/keywords/random-variable","display_name":"Random variable","score":0.3023480474948883},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.23950636386871338},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.19520032405853271},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.16813528537750244}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7135242223739624},{"id":"https://openalex.org/C88757350","wikidata":"https://www.wikidata.org/wiki/Q1557613","display_name":"L\u00e9vy process","level":2,"score":0.6995938420295715},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.603475034236908},{"id":"https://openalex.org/C64341305","wikidata":"https://www.wikidata.org/wiki/Q4919225","display_name":"Bivariate analysis","level":2,"score":0.5874375104904175},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.5023336410522461},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4765910804271698},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.4637243449687958},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.45754310488700867},{"id":"https://openalex.org/C101796028","wikidata":"https://www.wikidata.org/wiki/Q535587","display_name":"Moment-generating function","level":3,"score":0.4550813138484955},{"id":"https://openalex.org/C179254644","wikidata":"https://www.wikidata.org/wiki/Q13222844","display_name":"Moment (physics)","level":2,"score":0.4487780034542084},{"id":"https://openalex.org/C92757383","wikidata":"https://www.wikidata.org/wiki/Q382497","display_name":"Affine transformation","level":2,"score":0.44861286878585815},{"id":"https://openalex.org/C117251300","wikidata":"https://www.wikidata.org/wiki/Q1849855","display_name":"Parametric statistics","level":2,"score":0.4469793438911438},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4227112829685211},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.3798332214355469},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.36627644300460815},{"id":"https://openalex.org/C122123141","wikidata":"https://www.wikidata.org/wiki/Q176623","display_name":"Random variable","level":2,"score":0.3023480474948883},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.23950636386871338},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.19520032405853271},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.16813528537750244},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C74650414","wikidata":"https://www.wikidata.org/wiki/Q11397","display_name":"Classical mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.cam.2016.12.040","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.cam.2016.12.040","pdf_url":null,"source":{"id":"https://openalex.org/S165473669","display_name":"Journal of Computational and Applied Mathematics","issn_l":"0377-0427","issn":["0377-0427","1879-1778"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"publisher-specific-oa","license_id":"https://openalex.org/licenses/publisher-specific-oa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Computational and Applied Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:dial.uclouvain.be:boreal:185266","is_oa":false,"landing_page_url":"http://hdl.handle.net/2078.1/185266","pdf_url":null,"source":{"id":"https://openalex.org/S4306401902","display_name":"Digital Access to Libraries (Universit\u00e9 catholique de Louvain (UCL), l'Universit\u00e9 de Namur (UNamur) and the Universit\u00e9 Saint-Louis (USL-B))","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I95674353","host_organization_name":"UCLouvain","host_organization_lineage":["https://openalex.org/I95674353"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Computational and Applied Mathematics, Vol. 319, p. 117-140 (2017)","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":48,"referenced_works":["https://openalex.org/W42742690","https://openalex.org/W119317855","https://openalex.org/W138372711","https://openalex.org/W642509312","https://openalex.org/W1132038451","https://openalex.org/W1480459000","https://openalex.org/W1483307070","https://openalex.org/W1499969990","https://openalex.org/W1591798773","https://openalex.org/W1608542463","https://openalex.org/W1665069410","https://openalex.org/W1973168503","https://openalex.org/W1975839640","https://openalex.org/W1980519218","https://openalex.org/W1982265305","https://openalex.org/W1983135873","https://openalex.org/W1986267710","https://openalex.org/W2016166708","https://openalex.org/W2041908999","https://openalex.org/W2042530393","https://openalex.org/W2052012995","https://openalex.org/W2052548613","https://openalex.org/W2064978316","https://openalex.org/W2069849731","https://openalex.org/W2079541639","https://openalex.org/W2084547039","https://openalex.org/W2097695383","https://openalex.org/W2103382933","https://openalex.org/W2109921539","https://openalex.org/W2116550835","https://openalex.org/W2136536070","https://openalex.org/W2141696102","https://openalex.org/W2148688139","https://openalex.org/W2148923013","https://openalex.org/W2166822347","https://openalex.org/W2255528528","https://openalex.org/W2326091577","https://openalex.org/W2328875713","https://openalex.org/W2386745302","https://openalex.org/W2540865463","https://openalex.org/W3121146574","https://openalex.org/W3121574170","https://openalex.org/W3122167020","https://openalex.org/W3123757663","https://openalex.org/W3125308425","https://openalex.org/W4231561454","https://openalex.org/W4255732627","https://openalex.org/W6674842964"],"related_works":["https://openalex.org/W1721599012","https://openalex.org/W2901858382","https://openalex.org/W4384273653","https://openalex.org/W4372063917","https://openalex.org/W4386492648","https://openalex.org/W2130929518","https://openalex.org/W4236460739","https://openalex.org/W2066757333","https://openalex.org/W2950839898","https://openalex.org/W2060253968"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
