{"id":"https://openalex.org/W9180214","doi":"https://doi.org/10.1023/a:1019296422231","title":"A Stochastic Programming Model for Currency Option Hedging","display_name":"A Stochastic Programming Model for Currency Option Hedging","publication_year":2000,"publication_date":"2000-12-01","ids":{"openalex":"https://openalex.org/W9180214","doi":"https://doi.org/10.1023/a:1019296422231","mag":"9180214"},"language":"en","primary_location":{"id":"doi:10.1023/a:1019296422231","is_oa":false,"landing_page_url":"https://doi.org/10.1023/a:1019296422231","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":["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/A5102396198","display_name":"Jason Wu","orcid":null},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Jason Wu","raw_affiliation_strings":["Gifford Fong Associates, Lafayette, CA, 94549, USA","Gifford Fong Associates, Lafayette, USA"],"affiliations":[{"raw_affiliation_string":"Gifford Fong Associates, Lafayette, CA, 94549, USA","institution_ids":[]},{"raw_affiliation_string":"Gifford Fong Associates, Lafayette, USA","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5026466952","display_name":"Suvrajeet Sen","orcid":"https://orcid.org/0000-0002-6285-8833"},"institutions":[{"id":"https://openalex.org/I138006243","display_name":"University of Arizona","ror":"https://ror.org/03m2x1q45","country_code":"US","type":"education","lineage":["https://openalex.org/I138006243"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Suvrajeet Sen","raw_affiliation_strings":["Systems and Industrial Engineering Department, University of Arizona, Tucson, AZ, 85721, USA","[Systems and Industrial Engineering Department, University of Arizona Tucson, USA]"],"affiliations":[{"raw_affiliation_string":"Systems and Industrial Engineering Department, University of Arizona, Tucson, AZ, 85721, USA","institution_ids":["https://openalex.org/I138006243"]},{"raw_affiliation_string":"[Systems and Industrial Engineering Department, University of Arizona Tucson, USA]","institution_ids":["https://openalex.org/I138006243"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5102396198"],"corresponding_institution_ids":[],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.00144844,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"100","issue":"1-4","first_page":"227","last_page":"249"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"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":0.9994000196456909,"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":0.9941999912261963,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9847000241279602,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/hedge","display_name":"Hedge","score":0.6514068245887756},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6296369433403015},{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.6068530082702637},{"id":"https://openalex.org/keywords/stochastic-programming","display_name":"Stochastic programming","score":0.5801153182983398},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5309338569641113},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.5276521444320679},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4431927800178528},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.38046419620513916},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.20052573084831238},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.16450703144073486},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1378512978553772}],"concepts":[{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.6514068245887756},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6296369433403015},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.6068530082702637},{"id":"https://openalex.org/C137631369","wikidata":"https://www.wikidata.org/wiki/Q7617831","display_name":"Stochastic programming","level":2,"score":0.5801153182983398},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5309338569641113},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.5276521444320679},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4431927800178528},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.38046419620513916},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.20052573084831238},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.16450703144073486},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1378512978553772},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1023/a:1019296422231","is_oa":false,"landing_page_url":"https://doi.org/10.1023/a:1019296422231","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:RePEc:spr:annopr:v:100:y:2000:i:1:p:227-249:10.1023/a:1019296422231","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1023/A:1019296422231","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":[{"score":0.4699999988079071,"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W570389583","https://openalex.org/W985807565","https://openalex.org/W1968027919","https://openalex.org/W1969007958","https://openalex.org/W1988697445","https://openalex.org/W1998031535","https://openalex.org/W2005158847","https://openalex.org/W2034413077","https://openalex.org/W2040039427","https://openalex.org/W2049234737","https://openalex.org/W2068928693","https://openalex.org/W2076057077","https://openalex.org/W2087233288","https://openalex.org/W2115351953","https://openalex.org/W2126563156","https://openalex.org/W2129587297","https://openalex.org/W2136364195","https://openalex.org/W2145786890","https://openalex.org/W2146612430","https://openalex.org/W2148363893","https://openalex.org/W2161353821","https://openalex.org/W2170444200","https://openalex.org/W3021444882","https://openalex.org/W3106992008"],"related_works":["https://openalex.org/W46528071","https://openalex.org/W1500325933","https://openalex.org/W2353426633","https://openalex.org/W2092936865","https://openalex.org/W2258323419","https://openalex.org/W1519401134","https://openalex.org/W3145582122","https://openalex.org/W3122871341","https://openalex.org/W2947819848","https://openalex.org/W2201759938"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":3}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2016-06-24T00:00:00"}
