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 0 0 0 57
Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi 0 0 0 26 0 0 0 97
Delegated Portfolio Management under Ambiguity Aversion 0 0 0 20 1 1 1 59
Delegated Portfolio Management with Socially Responsible Investment Constraints 0 0 0 72 0 0 0 185
Delta Hedging in Discrete Time under Stochastic Interest Rate 0 0 0 100 0 0 2 274
Evaluating Discrete Dynamic Strategies in Affine Models 0 0 0 28 0 1 1 100
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 39 0 0 2 126
Implicit Incentives for Fund Managers with Partial Information 0 0 0 5 0 0 0 16
Implied Volatilities of Caps: a Gaussian approach 0 0 1 21 1 1 2 67
Measuring the error of dynamic hedging: a Laplace transform approach 0 0 0 38 0 0 0 132
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 3 91 0 1 8 256
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 1 1 2 114 1 2 3 241
The IGARCH e®ect: Consequences on volatility forecasting and option trading 0 0 1 84 1 1 5 240
The cost of sustainability on optimal portfolio choices 0 0 0 51 1 3 6 236
The cost of sustainability on optimal portfolio choices 0 0 0 48 1 1 4 237
The value of knowing the market price of risk 0 0 0 8 0 0 1 19
Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? 0 0 1 459 0 0 8 1,248
Total Working Papers 1 1 8 1,240 6 11 43 3,590

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 1 2 6
An Agent Based Model for a Double Auction with Convex Incentives 0 0 0 3 0 0 0 26
Consistent calibration of HJM models to cap implied volatilities 0 0 0 4 0 0 1 15
Convex incentives in financial markets: an agent-based analysis 0 0 0 2 0 0 0 41
Delegated portfolio management with socially responsible investment constraints 0 0 1 12 0 0 1 61
Efficient option valuation using trees 0 0 0 72 0 0 0 276
Evaluating discrete dynamic strategies in affine models 0 0 0 2 1 1 1 19
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 29 0 0 2 119
Implicit incentives for fund managers with partial information 0 0 0 2 0 0 0 5
Notes and Comments: An approximation of caplet implied volatilities in Gaussian models 0 0 0 29 1 1 3 168
Optimal strategies with option compensation under mean reverting returns or volatilities 0 0 0 1 0 0 2 17
Option pricing with stochastic volatility models 0 0 0 558 0 0 2 1,260
Portfolio allocation in actively managed funds 0 0 0 23 1 1 1 72
Portfolio management with benchmark related incentives under mean reverting processes 1 1 1 7 1 1 1 28
Socially responsible and conventional investment funds: performance comparison and the global financial crisis 1 1 4 50 2 2 6 153
The cost of sustainability in optimal portfolio decisions 0 0 0 22 0 0 3 115
The value of knowing the market price of risk 0 2 2 14 1 3 6 28
Total Journal Articles 2 4 8 833 8 10 31 2,409

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Statistics updated 2025-03-03