Access Statistics for Stefano Herzel

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Convex Incentives in Financial Markets: an Agent-Based Analysis 0 0 0 36 0 2 3 60
Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi 0 0 0 26 1 1 1 98
Delegated Portfolio Management under Ambiguity Aversion 0 0 0 20 0 2 6 64
Delegated Portfolio Management with Socially Responsible Investment Constraints 0 0 0 72 0 0 0 185
Delta Hedging in Discrete Time under Stochastic Interest Rate 0 0 0 100 1 1 4 278
Evaluating Discrete Dynamic Strategies in Affine Models 0 1 1 29 1 6 8 107
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 39 0 1 1 127
Implicit Incentives for Fund Managers with Partial Information 0 0 0 5 1 1 2 18
Implied Volatilities of Caps: a Gaussian approach 0 0 1 22 0 0 3 69
Measuring the error of dynamic hedging: a Laplace transform approach 0 0 2 40 1 1 5 137
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 2 115 0 1 6 245
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 1 92 2 5 8 263
The IGARCH e®ect: Consequences on volatility forecasting and option trading 0 0 1 85 1 1 3 242
The cost of sustainability on optimal portfolio choices 0 0 0 48 1 1 2 238
The cost of sustainability on optimal portfolio choices 0 0 0 51 1 1 9 242
The value of knowing the market price of risk 0 0 0 8 0 0 5 24
Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? 0 1 1 460 0 4 7 1,255
Total Working Papers 0 2 9 1,248 10 28 73 3,652

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Simple Model for Option Pricing with Jumping Stochastic Volatility 0 0 0 3 0 0 2 7
An Agent Based Model for a Double Auction with Convex Incentives 0 0 0 3 1 1 1 27
Consistent calibration of HJM models to cap implied volatilities 0 0 0 4 0 0 0 15
Convex incentives in financial markets: an agent-based analysis 0 0 0 2 0 0 1 42
Delegated portfolio management with socially responsible investment constraints 0 0 0 12 0 0 1 62
Efficient option valuation using trees 0 0 0 72 0 2 2 278
Evaluating discrete dynamic strategies in affine models 0 0 0 2 0 0 1 19
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 29 0 1 2 121
Implicit incentives for fund managers with partial information 0 0 0 2 2 4 5 10
Notes and Comments: An approximation of caplet implied volatilities in Gaussian models 0 0 0 29 1 2 4 171
Optimal strategies with option compensation under mean reverting returns or volatilities 0 0 0 1 1 1 2 19
Option pricing with stochastic volatility models 0 0 0 558 0 0 0 1,260
Portfolio allocation in actively managed funds 1 1 1 24 2 2 3 74
Portfolio management with benchmark related incentives under mean reverting processes 0 0 1 7 1 2 4 31
Socially responsible and conventional investment funds: performance comparison and the global financial crisis 1 1 5 54 2 4 14 165
The cost of sustainability in optimal portfolio decisions 0 0 0 22 0 1 4 119
The value of knowing the market price of risk 0 0 2 14 0 1 7 32
Total Journal Articles 2 2 9 838 10 21 53 2,452

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Statistics updated 2025-12-06