{"id":"https://openalex.org/W2029694642","doi":"https://doi.org/10.1016/j.ejor.2012.11.032","title":"Pricing and risk management of interest rate swaps","display_name":"Pricing and risk management of interest rate swaps","publication_year":2012,"publication_date":"2012-12-12","ids":{"openalex":"https://openalex.org/W2029694642","doi":"https://doi.org/10.1016/j.ejor.2012.11.032","mag":"2029694642"},"language":"en","primary_location":{"id":"doi:10.1016/j.ejor.2012.11.032","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.ejor.2012.11.032","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"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":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Journal of Operational Research","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/A5103205633","display_name":"Sovan Mitra","orcid":"https://orcid.org/0000-0003-4984-0679"},"institutions":[{"id":"https://openalex.org/I195939026","display_name":"Glasgow Caledonian University","ror":"https://ror.org/03dvm1235","country_code":"GB","type":"education","lineage":["https://openalex.org/I195939026"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Sovan Mitra","raw_affiliation_strings":["Glasgow Caledonian University London Campus, London E1 6PX, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Glasgow Caledonian University London Campus, London E1 6PX, United Kingdom","institution_ids":["https://openalex.org/I195939026"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5009805193","display_name":"Paresh Date","orcid":"https://orcid.org/0000-0001-7097-9961"},"institutions":[{"id":"https://openalex.org/I59433898","display_name":"Brunel University of London","ror":"https://ror.org/00dn4t376","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I59433898"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Paresh Date","raw_affiliation_strings":["Brunel University, Uxbridge UB8 3PH, UNITED KINGDOM#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Brunel University, Uxbridge UB8 3PH, UNITED KINGDOM#TAB#","institution_ids":["https://openalex.org/I59433898"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5010674696","display_name":"Rogemar Mamon","orcid":"https://orcid.org/0000-0003-0885-7685"},"institutions":[{"id":"https://openalex.org/I125749732","display_name":"Western University","ror":"https://ror.org/02grkyz14","country_code":"CA","type":"education","lineage":["https://openalex.org/I125749732"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Rogemar Mamon","raw_affiliation_strings":["University of Western Ontario London Ontario N6A 5B7 Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Western Ontario London Ontario N6A 5B7 Canada","institution_ids":["https://openalex.org/I125749732"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066953751","display_name":"I-Chieh Wang","orcid":"https://orcid.org/0000-0002-5245-0586"},"institutions":[{"id":"https://openalex.org/I64723972","display_name":"Meiho University","ror":"https://ror.org/04cjpzj07","country_code":"TW","type":"education","lineage":["https://openalex.org/I64723972"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"I-Chieh Wang","raw_affiliation_strings":["Meiho University; Pingtung Taiwan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Meiho University; Pingtung Taiwan","institution_ids":["https://openalex.org/I64723972"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3290,"currency":"USD","value_usd":3290},"apc_paid":null,"fwci":1.54,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":{"value":0.86243825,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":"228","issue":"1","first_page":"102","last_page":"111"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991000294685364,"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":0.9991000294685364,"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/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9940000176429749,"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":0.9904000163078308,"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/interest-rate-swap","display_name":"Interest rate swap","score":0.6190022230148315},{"id":"https://openalex.org/keywords/interest-rate-risk","display_name":"Interest rate risk","score":0.5693378448486328},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.5519886016845703},{"id":"https://openalex.org/keywords/interest-rate-derivative","display_name":"Interest rate derivative","score":0.4950844347476959},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.47251614928245544},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.42662671208381653},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.40273937582969666},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.36862099170684814},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.33631381392478943},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2070375680923462}],"concepts":[{"id":"https://openalex.org/C99560960","wikidata":"https://www.wikidata.org/wiki/Q205258","display_name":"Interest rate swap","level":3,"score":0.6190022230148315},{"id":"https://openalex.org/C29944286","wikidata":"https://www.wikidata.org/wiki/Q205273","display_name":"Interest rate risk","level":3,"score":0.5693378448486328},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.5519886016845703},{"id":"https://openalex.org/C128029710","wikidata":"https://www.wikidata.org/wiki/Q205180","display_name":"Interest rate derivative","level":3,"score":0.4950844347476959},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.47251614928245544},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.42662671208381653},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.40273937582969666},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.36862099170684814},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.33631381392478943},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2070375680923462}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.ejor.2012.11.032","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.ejor.2012.11.032","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"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":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Journal of Operational Research","raw_type":"journal-article"},{"id":"pmh:oai:researchonline.gcu.ac.uk:openaire_cris_publications/65f99d2e-0419-4e88-8a93-dfed7f45520a","is_oa":false,"landing_page_url":"https://researchonline.gcu.ac.uk/en/publications/65f99d2e-0419-4e88-8a93-dfed7f45520a","pdf_url":null,"source":{"id":"https://openalex.org/S4306402566","display_name":"ResearchOnline (Glasgow Caledonian University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I195939026","host_organization_name":"Glasgow Caledonian University","host_organization_lineage":["https://openalex.org/I195939026"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"Mitra, S, Date, P, Mamonc, R & Wang, I-C 2013, 'Pricing and risk management of interest rate swaps', European Journal of Operational Research, vol. 228, no. 1, pp. 102-111. https://doi.org/10.1016/j.ejor.2012.11.032","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"pmh:oai:RePEc:eee:ejores:v:228:y:2013:i:1:p:102-111","is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0377221712008843","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":[{"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17","score":0.4699999988079071}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":71,"referenced_works":["https://openalex.org/W90959930","https://openalex.org/W229011152","https://openalex.org/W573673492","https://openalex.org/W1571438983","https://openalex.org/W1577789187","https://openalex.org/W1851659917","https://openalex.org/W1853994687","https://openalex.org/W1971744409","https://openalex.org/W1971783659","https://openalex.org/W1974037026","https://openalex.org/W1974150633","https://openalex.org/W1974486531","https://openalex.org/W1976677821","https://openalex.org/W1979101041","https://openalex.org/W1981539687","https://openalex.org/W1981802588","https://openalex.org/W1988562801","https://openalex.org/W1988697445","https://openalex.org/W1994976590","https://openalex.org/W1996387945","https://openalex.org/W2001217018","https://openalex.org/W2005115413","https://openalex.org/W2010688805","https://openalex.org/W2014449509","https://openalex.org/W2015745524","https://openalex.org/W2019142724","https://openalex.org/W2019291268","https://openalex.org/W2027849119","https://openalex.org/W2028204940","https://openalex.org/W2031298242","https://openalex.org/W2039308262","https://openalex.org/W2045393750","https://openalex.org/W2047209971","https://openalex.org/W2048229522","https://openalex.org/W2048658892","https://openalex.org/W2049523784","https://openalex.org/W2068115613","https://openalex.org/W2068744379","https://openalex.org/W2073489444","https://openalex.org/W2083691775","https://openalex.org/W2089435784","https://openalex.org/W2091363287","https://openalex.org/W2092698606","https://openalex.org/W2095424210","https://openalex.org/W2095541777","https://openalex.org/W2110632537","https://openalex.org/W2117500871","https://openalex.org/W2124852072","https://openalex.org/W2134605528","https://openalex.org/W2148097004","https://openalex.org/W2150894340","https://openalex.org/W2263464937","https://openalex.org/W2568675634","https://openalex.org/W2569451820","https://openalex.org/W2600062507","https://openalex.org/W3020913752","https://openalex.org/W3121538827","https://openalex.org/W3122224556","https://openalex.org/W3122388441","https://openalex.org/W3122779114","https://openalex.org/W3123893835","https://openalex.org/W3124204648","https://openalex.org/W3124708959","https://openalex.org/W3125211067","https://openalex.org/W3125310779","https://openalex.org/W4242005337","https://openalex.org/W6609027928","https://openalex.org/W6650492389","https://openalex.org/W6678904977","https://openalex.org/W6680227849","https://openalex.org/W6693246584"],"related_works":["https://openalex.org/W4239488475","https://openalex.org/W566116463","https://openalex.org/W577650647","https://openalex.org/W2311199669","https://openalex.org/W596018376","https://openalex.org/W1551896853","https://openalex.org/W3122231229","https://openalex.org/W2095463876","https://openalex.org/W4238825488","https://openalex.org/W4225744727"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}