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 2 4 10 68
Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi 0 0 0 26 0 1 5 102
Delegated Portfolio Management under Ambiguity Aversion 0 0 0 20 1 2 16 76
Delegated Portfolio Management with Socially Responsible Investment Constraints 0 0 0 72 5 7 10 195
Delta Hedging in Discrete Time under Stochastic Interest Rate 0 0 0 100 2 5 13 289
Evaluating Discrete Dynamic Strategies in Affine Models 0 0 1 29 1 5 16 116
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 39 1 3 10 136
Implicit Incentives for Fund Managers with Partial Information 0 0 0 5 3 4 7 23
Implied Volatilities of Caps: a Gaussian approach 0 0 0 22 2 4 6 75
Measuring the error of dynamic hedging: a Laplace transform approach 0 0 1 40 5 5 12 145
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 1 1 93 4 6 16 273
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 1 1 116 2 4 11 254
The IGARCH e®ect: Consequences on volatility forecasting and option trading 0 0 2 86 2 2 10 250
The cost of sustainability on optimal portfolio choices 0 0 0 48 1 3 14 251
The cost of sustainability on optimal portfolio choices 0 0 0 51 2 2 11 248
The value of knowing the market price of risk 0 0 0 8 1 4 11 30
Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? 0 0 2 461 7 12 26 1,275
Total Working Papers 0 2 8 1,252 41 73 204 3,806

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 1 2 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 4 4 10 25
Convex incentives in financial markets: an agent-based analysis 0 0 0 2 0 0 2 43
Delegated portfolio management with socially responsible investment constraints 0 0 0 12 1 1 9 70
Efficient option valuation using trees 0 0 0 72 4 6 12 288
Evaluating discrete dynamic strategies in affine models 0 0 0 2 2 2 6 25
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 29 2 2 6 125
Implicit incentives for fund managers with partial information 0 0 0 2 0 1 9 15
Notes and Comments: An approximation of caplet implied volatilities in Gaussian models 0 0 0 29 2 4 9 178
Optimal strategies with option compensation under mean reverting returns or volatilities 0 0 0 1 1 1 7 24
Option pricing with stochastic volatility models 0 0 0 558 2 3 7 1,267
Portfolio allocation in actively managed funds 0 0 1 24 2 2 6 78
Portfolio management with benchmark related incentives under mean reverting processes 0 0 0 7 5 7 12 40
Socially responsible and conventional investment funds: performance comparison and the global financial crisis 0 0 5 55 1 3 16 170
The cost of sustainability in optimal portfolio decisions 0 0 0 22 5 5 9 125
The value of knowing the market price of risk 0 0 0 14 1 4 18 47
Total Journal Articles 0 0 7 840 33 47 145 2,560

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Statistics updated 2026-05-06