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 6 9 66
Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi 0 0 0 26 0 3 4 101
Delegated Portfolio Management under Ambiguity Aversion 0 0 0 20 1 11 16 75
Delegated Portfolio Management with Socially Responsible Investment Constraints 0 0 0 72 1 4 4 189
Delta Hedging in Discrete Time under Stochastic Interest Rate 0 0 0 100 2 8 12 286
Evaluating Discrete Dynamic Strategies in Affine Models 0 0 1 29 1 5 12 112
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 39 0 6 7 133
Implicit Incentives for Fund Managers with Partial Information 0 0 0 5 0 1 3 19
Implied Volatilities of Caps: a Gaussian approach 0 0 1 22 1 3 5 72
Measuring the error of dynamic hedging: a Laplace transform approach 0 0 2 40 0 3 8 140
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 1 92 0 4 11 267
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 1 115 0 5 9 250
The IGARCH e®ect: Consequences on volatility forecasting and option trading 0 1 2 86 0 6 8 248
The cost of sustainability on optimal portfolio choices 0 0 0 48 2 12 13 250
The cost of sustainability on optimal portfolio choices 0 0 0 51 0 4 10 246
The value of knowing the market price of risk 0 0 0 8 1 3 8 27
Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? 0 1 2 461 2 10 17 1,265
Total Working Papers 0 2 10 1,250 13 94 156 3,746

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 2 3 9
An Agent Based Model for a Double Auction with Convex Incentives 0 0 0 3 0 2 3 29
Consistent calibration of HJM models to cap implied volatilities 0 1 1 5 0 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 0 7 8 69
Efficient option valuation using trees 0 0 0 72 1 5 7 283
Evaluating discrete dynamic strategies in affine models 0 0 0 2 0 4 4 23
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 29 0 2 4 123
Implicit incentives for fund managers with partial information 0 0 0 2 0 4 9 14
Notes and Comments: An approximation of caplet implied volatilities in Gaussian models 0 0 0 29 2 5 8 176
Optimal strategies with option compensation under mean reverting returns or volatilities 0 0 0 1 0 4 6 23
Option pricing with stochastic volatility models 0 0 0 558 1 5 5 1,265
Portfolio allocation in actively managed funds 0 0 1 24 0 2 4 76
Portfolio management with benchmark related incentives under mean reverting processes 0 0 0 7 0 2 5 33
Socially responsible and conventional investment funds: performance comparison and the global financial crisis 0 1 5 55 1 3 15 168
The cost of sustainability in optimal portfolio decisions 0 0 0 22 0 1 5 120
The value of knowing the market price of risk 0 0 0 14 1 12 16 44
Total Journal Articles 0 2 7 840 6 67 110 2,519

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Statistics updated 2026-03-04