{"id":"https://openalex.org/W3004168410","doi":"https://doi.org/10.1137/20m1324375","title":"Cross Currency Valuation and Hedging in the Multiple Curve Framework","display_name":"Cross Currency Valuation and Hedging in the Multiple Curve Framework","publication_year":2020,"publication_date":"2020-01-01","ids":{"openalex":"https://openalex.org/W3004168410","doi":"https://doi.org/10.1137/20m1324375","mag":"3004168410"},"language":"en","primary_location":{"id":"doi:10.1137/20m1324375","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m1324375","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":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.3528307","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5009162333","display_name":"Alessandro Gnoatto","orcid":"https://orcid.org/0000-0002-2119-7792"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Alessandro Gnoatto","raw_affiliation_strings":["University of Verona - Department of Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Verona - Department of Economics","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5002936887","display_name":"Nicole Seiffert","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Nicole Seiffert","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5009162333"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.964,"has_fulltext":true,"cited_by_count":4,"citation_normalized_percentile":{"value":0.77658963,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":95},"biblio":{"volume":"12","issue":"3","first_page":"967","last_page":"1012"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.996999979019165,"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":0.996999979019165,"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/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9940000176429749,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and 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/T12137","display_name":"Economic theories and models","score":0.9901999831199646,"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/collateralization","display_name":"Collateralization","score":0.9037395715713501},{"id":"https://openalex.org/keywords/collateral","display_name":"Collateral","score":0.8063193559646606},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.713509202003479},{"id":"https://openalex.org/keywords/valuation","display_name":"Valuation (finance)","score":0.6800904273986816},{"id":"https://openalex.org/keywords/currency","display_name":"Currency","score":0.6645908355712891},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.49704959988594055},{"id":"https://openalex.org/keywords/cash","display_name":"Cash","score":0.4803970158100128},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.47346487641334534},{"id":"https://openalex.org/keywords/devaluation","display_name":"Devaluation","score":0.44432929158210754},{"id":"https://openalex.org/keywords/monetary-economics","display_name":"Monetary economics","score":0.41483473777770996},{"id":"https://openalex.org/keywords/stochastic-discount-factor","display_name":"Stochastic discount factor","score":0.4110478460788727},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3301404118537903},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.324368953704834},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.21643933653831482},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1890782117843628}],"concepts":[{"id":"https://openalex.org/C2781223538","wikidata":"https://www.wikidata.org/wiki/Q4227941","display_name":"Collateralization","level":3,"score":0.9037395715713501},{"id":"https://openalex.org/C2777910564","wikidata":"https://www.wikidata.org/wiki/Q694563","display_name":"Collateral","level":2,"score":0.8063193559646606},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.713509202003479},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.6800904273986816},{"id":"https://openalex.org/C141121606","wikidata":"https://www.wikidata.org/wiki/Q8142","display_name":"Currency","level":2,"score":0.6645908355712891},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.49704959988594055},{"id":"https://openalex.org/C2778083465","wikidata":"https://www.wikidata.org/wiki/Q693464","display_name":"Cash","level":2,"score":0.4803970158100128},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.47346487641334534},{"id":"https://openalex.org/C70455891","wikidata":"https://www.wikidata.org/wiki/Q220788","display_name":"Devaluation","level":3,"score":0.44432929158210754},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.41483473777770996},{"id":"https://openalex.org/C33175817","wikidata":"https://www.wikidata.org/wiki/Q3740200","display_name":"Stochastic discount factor","level":3,"score":0.4110478460788727},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3301404118537903},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.324368953704834},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.21643933653831482},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1890782117843628}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1137/20m1324375","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m1324375","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":"doi:10.2139/ssrn.3528307","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3528307","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:2001.11012","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2001.11012","pdf_url":"https://arxiv.org/pdf/2001.11012","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"mag:3004168410","is_oa":true,"landing_page_url":"http://arxiv.org/pdf/2001.11012.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"mag:3124139934","is_oa":false,"landing_page_url":"https://ideas.repec.org/p/ver/wpaper/03-2020.html","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":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:arx:papers:2001.11012","is_oa":false,"landing_page_url":null,"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":"preprint"},{"id":"doi:10.48550/arxiv.2001.11012","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2001.11012","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"doi:10.2139/ssrn.3528307","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3528307","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":44,"referenced_works":["https://openalex.org/W619159737","https://openalex.org/W788396964","https://openalex.org/W1502017070","https://openalex.org/W1762134087","https://openalex.org/W1886460142","https://openalex.org/W1995704428","https://openalex.org/W2011388769","https://openalex.org/W2034413077","https://openalex.org/W2055406088","https://openalex.org/W2092944841","https://openalex.org/W2096521380","https://openalex.org/W2098178540","https://openalex.org/W2103586120","https://openalex.org/W2119884178","https://openalex.org/W2127034316","https://openalex.org/W2133608028","https://openalex.org/W2152581548","https://openalex.org/W2156833036","https://openalex.org/W2162153745","https://openalex.org/W2163023234","https://openalex.org/W2163612552","https://openalex.org/W2289342452","https://openalex.org/W2289378561","https://openalex.org/W2406965113","https://openalex.org/W2413469943","https://openalex.org/W2477698159","https://openalex.org/W2492132491","https://openalex.org/W2493455684","https://openalex.org/W2548064420","https://openalex.org/W2560648928","https://openalex.org/W2584760475","https://openalex.org/W2606675745","https://openalex.org/W2751876766","https://openalex.org/W2936377275","https://openalex.org/W3105599219","https://openalex.org/W3121382985","https://openalex.org/W3121437287","https://openalex.org/W3121612240","https://openalex.org/W3121763474","https://openalex.org/W3122488487","https://openalex.org/W3123338165","https://openalex.org/W3124030970","https://openalex.org/W3194703332","https://openalex.org/W4292070138"],"related_works":["https://openalex.org/W3125390778","https://openalex.org/W2751876766","https://openalex.org/W3124905585","https://openalex.org/W2181702025","https://openalex.org/W3124383004","https://openalex.org/W2080678283","https://openalex.org/W3105599219","https://openalex.org/W2584760475","https://openalex.org/W3123132320","https://openalex.org/W1488146939","https://openalex.org/W2559535113","https://openalex.org/W1493407799","https://openalex.org/W2257199927","https://openalex.org/W2050761425","https://openalex.org/W2253880961","https://openalex.org/W1879337080","https://openalex.org/W2075521546","https://openalex.org/W1898228068","https://openalex.org/W2277555202","https://openalex.org/W3103585941"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1}],"updated_date":"2026-06-23T13:55:30.953635","created_date":"2025-10-10T00:00:00"}
