{"id":"https://openalex.org/W3124880381","doi":"https://doi.org/10.1137/110858732","title":"Adjoint Expansions in Local L\u00e9vy Models","display_name":"Adjoint Expansions in Local L\u00e9vy Models","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W3124880381","doi":"https://doi.org/10.1137/110858732","mag":"3124880381"},"language":"en","primary_location":{"id":"doi:10.1137/110858732","is_oa":false,"landing_page_url":"https://doi.org/10.1137/110858732","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial 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/A5001028268","display_name":"Stefano Pagliarani","orcid":"https://orcid.org/0000-0003-4329-7054"},"institutions":[{"id":"https://openalex.org/I157210198","display_name":"Scuola Normale Superiore","ror":"https://ror.org/03aydme10","country_code":"IT","type":"education","lineage":["https://openalex.org/I157210198"]},{"id":"https://openalex.org/I9360294","display_name":"University of Bologna","ror":"https://ror.org/01111rn36","country_code":"IT","type":"education","lineage":["https://openalex.org/I9360294"]},{"id":"https://openalex.org/I138689650","display_name":"University of Padua","ror":"https://ror.org/00240q980","country_code":"IT","type":"education","lineage":["https://openalex.org/I138689650"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Stefano Pagliarani","raw_affiliation_strings":["Dipartimento di Matematica, Universit\u00e0 di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy, Dipartimento di Matematica,","Dipartimento di Matematica, Universit\u00e0 di Padova, Via Trieste 63, 35121 Padova, Italy","Universit\u00e0 di Padova, Via Trieste 63, 35121 Padova, Italy","Scuola Normale Superiore, Classe di Scienze, Piazza dei Cavalieri 7, 56126 Pisa, Italy","Dipartimento di Matematica, Universit\u00e0 di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy"],"affiliations":[{"raw_affiliation_string":"Dipartimento di Matematica, Universit\u00e0 di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy, Dipartimento di Matematica,","institution_ids":["https://openalex.org/I9360294"]},{"raw_affiliation_string":"Dipartimento di Matematica, Universit\u00e0 di Padova, Via Trieste 63, 35121 Padova, Italy","institution_ids":["https://openalex.org/I138689650"]},{"raw_affiliation_string":"Universit\u00e0 di Padova, Via Trieste 63, 35121 Padova, Italy","institution_ids":["https://openalex.org/I138689650"]},{"raw_affiliation_string":"Scuola Normale Superiore, Classe di Scienze, Piazza dei Cavalieri 7, 56126 Pisa, Italy","institution_ids":["https://openalex.org/I157210198"]},{"raw_affiliation_string":"Dipartimento di Matematica, Universit\u00e0 di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy","institution_ids":["https://openalex.org/I9360294"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5002338317","display_name":"Andrea Pascucci","orcid":"https://orcid.org/0000-0001-8837-5568"},"institutions":[{"id":"https://openalex.org/I157210198","display_name":"Scuola Normale Superiore","ror":"https://ror.org/03aydme10","country_code":"IT","type":"education","lineage":["https://openalex.org/I157210198"]},{"id":"https://openalex.org/I9360294","display_name":"University of Bologna","ror":"https://ror.org/01111rn36","country_code":"IT","type":"education","lineage":["https://openalex.org/I9360294"]},{"id":"https://openalex.org/I138689650","display_name":"University of Padua","ror":"https://ror.org/00240q980","country_code":"IT","type":"education","lineage":["https://openalex.org/I138689650"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Andrea Pascucci","raw_affiliation_strings":["Dipartimento di Matematica, Universit\u00e0 di Padova, Via Trieste 63, 35121 Padova, Italy","Scuola Normale Superiore, Classe di Scienze, Piazza dei Cavalieri 7, 56126 Pisa, Italy","Dipartimento di Matematica, Universit\u00e0 di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy","Universit\u00e0 di Padova, Via Trieste 63, 35121 Padova, Italy","Dipartimento di Matematica, Universit\u00e0 di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy, Dipartimento di Matematica,"],"affiliations":[{"raw_affiliation_string":"Dipartimento di Matematica, Universit\u00e0 di Padova, Via Trieste 63, 35121 Padova, Italy","institution_ids":["https://openalex.org/I138689650"]},{"raw_affiliation_string":"Scuola Normale Superiore, Classe di Scienze, Piazza dei Cavalieri 7, 56126 Pisa, Italy","institution_ids":["https://openalex.org/I157210198"]},{"raw_affiliation_string":"Dipartimento di Matematica, Universit\u00e0 di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy","institution_ids":["https://openalex.org/I9360294"]},{"raw_affiliation_string":"Universit\u00e0 di Padova, Via Trieste 63, 35121 Padova, Italy","institution_ids":["https://openalex.org/I138689650"]},{"raw_affiliation_string":"Dipartimento di Matematica, Universit\u00e0 di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy, Dipartimento di Matematica,","institution_ids":["https://openalex.org/I9360294"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5001119331","display_name":"Candia Riga","orcid":null},"institutions":[{"id":"https://openalex.org/I9360294","display_name":"University of Bologna","ror":"https://ror.org/01111rn36","country_code":"IT","type":"education","lineage":["https://openalex.org/I9360294"]},{"id":"https://openalex.org/I157210198","display_name":"Scuola Normale Superiore","ror":"https://ror.org/03aydme10","country_code":"IT","type":"education","lineage":["https://openalex.org/I157210198"]},{"id":"https://openalex.org/I138689650","display_name":"University of Padua","ror":"https://ror.org/00240q980","country_code":"IT","type":"education","lineage":["https://openalex.org/I138689650"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Candia Riga","raw_affiliation_strings":["Universit\u00e0 di Padova, Via Trieste 63, 35121 Padova, Italy","Dipartimento di Matematica, Universit\u00e0 di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy","Scuola Normale Superiore, Classe di Scienze, Piazza dei Cavalieri 7, 56126 Pisa, Italy","Dipartimento di Matematica, Universit\u00e0 di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy, Dipartimento di Matematica,","Dipartimento di Matematica, Universit\u00e0 di Padova, Via Trieste 63, 35121 Padova, Italy"],"affiliations":[{"raw_affiliation_string":"Universit\u00e0 di Padova, Via Trieste 63, 35121 Padova, Italy","institution_ids":["https://openalex.org/I138689650"]},{"raw_affiliation_string":"Dipartimento di Matematica, Universit\u00e0 di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy","institution_ids":["https://openalex.org/I9360294"]},{"raw_affiliation_string":"Scuola Normale Superiore, Classe di Scienze, Piazza dei Cavalieri 7, 56126 Pisa, Italy","institution_ids":["https://openalex.org/I157210198"]},{"raw_affiliation_string":"Dipartimento di Matematica, Universit\u00e0 di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy, Dipartimento di Matematica,","institution_ids":["https://openalex.org/I9360294"]},{"raw_affiliation_string":"Dipartimento di Matematica, Universit\u00e0 di Padova, Via Trieste 63, 35121 Padova, Italy","institution_ids":["https://openalex.org/I138689650"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5001028268"],"corresponding_institution_ids":["https://openalex.org/I138689650","https://openalex.org/I157210198","https://openalex.org/I9360294"],"apc_list":null,"apc_paid":null,"fwci":12.9194,"has_fulltext":false,"cited_by_count":43,"citation_normalized_percentile":{"value":0.9869175,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"4","issue":"1","first_page":"265","last_page":"296"},"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":0.9909999966621399,"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/T11152","display_name":"Stochastic processes and statistical mechanics","score":0.9717000126838684,"subfield":{"id":"https://openalex.org/subfields/2610","display_name":"Mathematical Physics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6952208280563354},{"id":"https://openalex.org/keywords/fourier-transform","display_name":"Fourier transform","score":0.6444383859634399},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5288577675819397},{"id":"https://openalex.org/keywords/fourier-series","display_name":"Fourier series","score":0.5106156468391418},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.49490803480148315},{"id":"https://openalex.org/keywords/kernel","display_name":"Kernel (algebra)","score":0.4892739951610565},{"id":"https://openalex.org/keywords/l\u00e9vy-process","display_name":"L\u00e9vy process","score":0.4841097593307495},{"id":"https://openalex.org/keywords/local-volatility","display_name":"Local volatility","score":0.44120272994041443},{"id":"https://openalex.org/keywords/space","display_name":"Space (punctuation)","score":0.433024525642395},{"id":"https://openalex.org/keywords/characteristic-function","display_name":"Characteristic function (probability theory)","score":0.4328618049621582},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4258826971054077},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.40950143337249756},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.37769442796707153},{"id":"https://openalex.org/keywords/probability-density-function","display_name":"Probability density function","score":0.2786703109741211},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.12923040986061096},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.10570472478866577}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6952208280563354},{"id":"https://openalex.org/C102519508","wikidata":"https://www.wikidata.org/wiki/Q6520159","display_name":"Fourier transform","level":2,"score":0.6444383859634399},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5288577675819397},{"id":"https://openalex.org/C207864730","wikidata":"https://www.wikidata.org/wiki/Q179467","display_name":"Fourier series","level":2,"score":0.5106156468391418},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.49490803480148315},{"id":"https://openalex.org/C74193536","wikidata":"https://www.wikidata.org/wiki/Q574844","display_name":"Kernel (algebra)","level":2,"score":0.4892739951610565},{"id":"https://openalex.org/C88757350","wikidata":"https://www.wikidata.org/wiki/Q1557613","display_name":"L\u00e9vy process","level":2,"score":0.4841097593307495},{"id":"https://openalex.org/C2779834249","wikidata":"https://www.wikidata.org/wiki/Q6664586","display_name":"Local volatility","level":4,"score":0.44120272994041443},{"id":"https://openalex.org/C2778572836","wikidata":"https://www.wikidata.org/wiki/Q380933","display_name":"Space (punctuation)","level":2,"score":0.433024525642395},{"id":"https://openalex.org/C20538924","wikidata":"https://www.wikidata.org/wiki/Q822139","display_name":"Characteristic function (probability theory)","level":3,"score":0.4328618049621582},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4258826971054077},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.40950143337249756},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.37769442796707153},{"id":"https://openalex.org/C197055811","wikidata":"https://www.wikidata.org/wiki/Q207522","display_name":"Probability density function","level":2,"score":0.2786703109741211},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.12923040986061096},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.10570472478866577},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/110858732","is_oa":false,"landing_page_url":"https://doi.org/10.1137/110858732","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:air.uniud.it:11390/1130647","is_oa":false,"landing_page_url":"http://hdl.handle.net/11390/1130647","pdf_url":null,"source":{"id":"https://openalex.org/S4306401163","display_name":"Institutional Research Information System (University of Udine)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I129043915","host_organization_name":"University of Udine","host_organization_lineage":["https://openalex.org/I129043915"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:cris.unibo.it:11585/116837","is_oa":false,"landing_page_url":"http://hdl.handle.net/11585/116837","pdf_url":null,"source":{"id":"https://openalex.org/S4306402579","display_name":"Archivio istituzionale della ricerca (Alma Mater Studiorum Universit\u00e0 di Bologna)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210117483","host_organization_name":"Istituto di Ematologia di Bologna","host_organization_lineage":["https://openalex.org/I4210117483"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W145047050","https://openalex.org/W1480459000","https://openalex.org/W1537617638","https://openalex.org/W1602967628","https://openalex.org/W1973003145","https://openalex.org/W1980519218","https://openalex.org/W2022969654","https://openalex.org/W2028094085","https://openalex.org/W2059676916","https://openalex.org/W2064978316","https://openalex.org/W2084044200","https://openalex.org/W2099993341","https://openalex.org/W2131116134","https://openalex.org/W2139597882","https://openalex.org/W2151065060","https://openalex.org/W2167698785","https://openalex.org/W2242435127","https://openalex.org/W2602055540","https://openalex.org/W3121972394","https://openalex.org/W3123609652","https://openalex.org/W3123699091","https://openalex.org/W3124048100","https://openalex.org/W3124062437","https://openalex.org/W3124430067","https://openalex.org/W3124599709","https://openalex.org/W3125005290","https://openalex.org/W3126075186"],"related_works":["https://openalex.org/W3123296785","https://openalex.org/W2188639880","https://openalex.org/W2281565324","https://openalex.org/W4287779353","https://openalex.org/W3024578200","https://openalex.org/W2906914066","https://openalex.org/W3123841515","https://openalex.org/W3198327799","https://openalex.org/W3122544694","https://openalex.org/W4376617576"],"abstract_inverted_index":{"We":[0],"propose":[1],"a":[2,27,82],"novel":[3],"method":[4],"for":[5],"the":[6,23,36,41,45,62,74,78,86,101,107,110],"analytical":[7],"approximation":[8,72,87],"in":[9,26,35,90,100],"local":[10,28],"volatility":[11],"models":[12],"with":[13,49],"L\u00e9vy":[14,29],"jumps.":[15],"The":[16],"main":[17],"result":[18,54],"is":[19,32,88],"an":[20,70],"expansion":[21],"of":[22,44,64,73,77,109],"characteristic":[24],"function":[25],"model,":[30],"which":[31],"worked":[33],"out":[34],"Fourier":[37,51,102],"space":[38],"by":[39,81],"considering":[40],"adjoint":[42],"formulation":[43],"pricing":[46,59],"problem.":[47],"Combined":[48],"standard":[50],"methods,":[52],"our":[53],"provides":[55],"efficient":[56],"and":[57,98],"accurate":[58],"formulae.":[60],"In":[61],"case":[63],"Gaussian":[65],"jumps,":[66],"we":[67],"also":[68],"derive":[69],"explicit":[71],"transition":[75],"density":[76],"underlying":[79],"process":[80],"heat":[83],"kernel":[84],"expansion:":[85],"obtained":[89],"two":[91],"ways,":[92],"using":[93],"partial":[94],"integro-differential":[95],"equation":[96],"techniques":[97],"working":[99],"space.":[103],"Numerical":[104],"tests":[105],"confirm":[106],"effectiveness":[108],"method.":[111]},"counts_by_year":[{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":5},{"year":2015,"cited_by_count":11},{"year":2014,"cited_by_count":8},{"year":2013,"cited_by_count":7},{"year":2012,"cited_by_count":3}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2021-02-01T00:00:00"}