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 3 4 7 64
Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi 0 0 0 26 0 4 4 101
Delegated Portfolio Management under Ambiguity Aversion 0 0 0 20 7 10 16 74
Delegated Portfolio Management with Socially Responsible Investment Constraints 0 0 0 72 1 3 3 188
Delta Hedging in Discrete Time under Stochastic Interest Rate 0 0 0 100 2 7 10 284
Evaluating Discrete Dynamic Strategies in Affine Models 0 0 1 29 3 5 11 111
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 39 6 6 7 133
Implicit Incentives for Fund Managers with Partial Information 0 0 0 5 1 2 3 19
Implied Volatilities of Caps: a Gaussian approach 0 0 1 22 1 2 5 71
Measuring the error of dynamic hedging: a Laplace transform approach 0 0 2 40 2 4 8 140
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 1 92 2 6 11 267
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 2 115 3 5 10 250
The IGARCH e®ect: Consequences on volatility forecasting and option trading 0 1 2 86 4 7 9 248
The cost of sustainability on optimal portfolio choices 0 0 0 48 9 11 12 248
The cost of sustainability on optimal portfolio choices 0 0 0 51 4 5 11 246
The value of knowing the market price of risk 0 0 0 8 1 2 7 26
Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? 0 1 2 461 6 8 15 1,263
Total Working Papers 0 2 11 1,250 55 91 149 3,733

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 2 2 4 9
An Agent Based Model for a Double Auction with Convex Incentives 0 0 0 3 1 3 3 29
Consistent calibration of HJM models to cap implied volatilities 0 1 1 5 4 6 6 21
Convex incentives in financial markets: an agent-based analysis 0 0 0 2 0 1 2 43
Delegated portfolio management with socially responsible investment constraints 0 0 0 12 4 7 8 69
Efficient option valuation using trees 0 0 0 72 3 4 6 282
Evaluating discrete dynamic strategies in affine models 0 0 0 2 3 4 5 23
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 29 1 2 4 123
Implicit incentives for fund managers with partial information 0 0 0 2 2 6 9 14
Notes and Comments: An approximation of caplet implied volatilities in Gaussian models 0 0 0 29 2 4 7 174
Optimal strategies with option compensation under mean reverting returns or volatilities 0 0 0 1 4 5 6 23
Option pricing with stochastic volatility models 0 0 0 558 4 4 4 1,264
Portfolio allocation in actively managed funds 0 1 1 24 1 4 5 76
Portfolio management with benchmark related incentives under mean reverting processes 0 0 1 7 1 3 6 33
Socially responsible and conventional investment funds: performance comparison and the global financial crisis 0 2 6 55 1 4 16 167
The cost of sustainability in optimal portfolio decisions 0 0 0 22 1 1 5 120
The value of knowing the market price of risk 0 0 0 14 9 11 16 43
Total Journal Articles 0 4 9 840 43 71 112 2,513

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Statistics updated 2026-02-12