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 1 58
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 2 4 62
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 1 1 3 277
Evaluating Discrete Dynamic Strategies in Affine Models 0 0 0 28 0 1 2 101
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 39 0 0 1 126
Implicit Incentives for Fund Managers with Partial Information 0 0 0 5 0 1 1 17
Implied Volatilities of Caps: a Gaussian approach 0 0 1 22 0 0 3 69
Measuring the error of dynamic hedging: a Laplace transform approach 0 1 2 40 1 3 4 136
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 2 115 1 1 5 244
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 1 92 0 1 3 258
The IGARCH e®ect: Consequences on volatility forecasting and option trading 0 1 2 85 0 1 4 241
The cost of sustainability on optimal portfolio choices 0 0 0 48 0 0 1 237
The cost of sustainability on optimal portfolio choices 0 0 0 51 2 3 8 241
The value of knowing the market price of risk 0 0 0 8 0 5 6 24
Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? 0 0 0 459 0 2 9 1,251
Total Working Papers 0 2 8 1,246 6 21 55 3,624

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 0 3 7
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 0 15
Convex incentives in financial markets: an agent-based analysis 0 0 0 2 0 1 1 42
Delegated portfolio management with socially responsible investment constraints 0 0 0 12 0 1 1 62
Efficient option valuation using trees 0 0 0 72 0 0 0 276
Evaluating discrete dynamic strategies in affine models 0 0 0 2 0 0 1 19
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 29 0 1 1 120
Implicit incentives for fund managers with partial information 0 0 0 2 0 0 1 6
Notes and Comments: An approximation of caplet implied volatilities in Gaussian models 0 0 0 29 0 0 2 169
Optimal strategies with option compensation under mean reverting returns or volatilities 0 0 0 1 0 1 2 18
Option pricing with stochastic volatility models 0 0 0 558 0 0 1 1,260
Portfolio allocation in actively managed funds 0 0 0 23 0 0 1 72
Portfolio management with benchmark related incentives under mean reverting processes 0 0 1 7 0 1 2 29
Socially responsible and conventional investment funds: performance comparison and the global financial crisis 0 1 5 53 2 4 11 161
The cost of sustainability in optimal portfolio decisions 0 0 0 22 1 2 5 118
The value of knowing the market price of risk 0 0 2 14 0 1 8 31
Total Journal Articles 0 1 8 836 3 12 40 2,431

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Statistics updated 2025-09-05