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
Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi 0 0 0 16 0 0 0 63
Delegated Portfolio Management with Socially Responsible Investment Constraints 0 0 0 67 0 0 0 176
Delta Hedging in Discrete Time under Stochastic Interest Rate 0 0 0 88 2 2 5 237
Evaluating Discrete Dynamic Strategies in Affine Models 0 0 0 27 0 1 5 74
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 37 0 1 1 101
Implied Volatilities of Caps: a Gaussian approach 0 0 0 17 0 0 2 58
Measuring the error of dynamic hedging: a Laplace transform approach 0 0 0 36 0 1 1 121
The IGARCH e®ect: Consequences on volatility forecasting and option trading 0 0 1 80 0 1 4 209
The cost of sustainability on optimal portfolio choices 0 0 2 49 0 1 6 200
Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? 1 2 6 436 1 6 17 1,130
Total Working Papers 1 2 9 853 3 13 41 2,369


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Efficient option valuation using trees 0 0 0 72 0 0 1 274
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 26 0 1 2 106
Notes and Comments: An approximation of caplet implied volatilities in Gaussian models 0 0 0 29 0 0 2 161
Option pricing with stochastic volatility models 0 0 0 557 0 0 1 1,250
Total Journal Articles 0 0 0 684 0 1 6 1,791


Statistics updated 2019-07-03