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 1 3 11 69
Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi 0 0 0 26 0 1 6 103
Delegated Portfolio Management under Ambiguity Aversion 0 0 0 20 0 2 17 77
Delegated Portfolio Management with Socially Responsible Investment Constraints 0 0 0 72 0 6 11 196
Delta Hedging in Discrete Time under Stochastic Interest Rate 0 0 0 100 0 4 15 291
Evaluating Discrete Dynamic Strategies in Affine Models 0 0 1 29 0 1 16 116
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 39 0 2 11 137
Implicit Incentives for Fund Managers with Partial Information 0 0 0 5 0 3 7 23
Implied Volatilities of Caps: a Gaussian approach 0 0 0 22 0 2 6 75
Measuring the error of dynamic hedging: a Laplace transform approach 0 0 1 40 0 5 11 145
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 1 93 0 5 16 274
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 1 116 0 3 12 255
The IGARCH e®ect: Consequences on volatility forecasting and option trading 0 0 2 86 1 4 12 252
The cost of sustainability on optimal portfolio choices 0 0 0 48 0 1 14 251
The cost of sustainability on optimal portfolio choices 0 0 0 51 0 3 11 249
The value of knowing the market price of risk 0 0 0 8 0 1 11 30
Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? 0 0 2 461 1 11 28 1,279
Total Working Papers 0 0 8 1,252 3 57 215 3,822

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 1 4 11
An Agent Based Model for a Double Auction with Convex Incentives 0 0 0 3 0 0 3 29
Consistent calibration of HJM models to cap implied volatilities 0 0 1 5 0 4 10 25
Convex incentives in financial markets: an agent-based analysis 0 0 0 2 0 1 2 44
Delegated portfolio management with socially responsible investment constraints 0 0 0 12 0 1 8 70
Efficient option valuation using trees 0 0 0 72 0 5 13 289
Evaluating discrete dynamic strategies in affine models 0 0 0 2 0 2 6 25
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 29 0 2 6 125
Implicit incentives for fund managers with partial information 0 0 0 2 0 1 10 16
Notes and Comments: An approximation of caplet implied volatilities in Gaussian models 0 0 0 29 0 2 9 178
Optimal strategies with option compensation under mean reverting returns or volatilities 0 0 0 1 0 1 6 24
Option pricing with stochastic volatility models 0 0 0 558 0 2 7 1,267
Portfolio allocation in actively managed funds 0 0 1 24 0 3 7 79
Portfolio management with benchmark related incentives under mean reverting processes 0 0 0 7 1 6 12 41
Socially responsible and conventional investment funds: performance comparison and the global financial crisis 0 0 2 55 1 4 15 173
The cost of sustainability in optimal portfolio decisions 0 0 0 22 0 5 9 125
The value of knowing the market price of risk 0 0 0 14 1 2 17 48
Total Journal Articles 0 0 4 840 3 42 144 2,569

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Statistics updated 2026-07-10