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 1 11 69
Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi 0 0 0 26 0 1 6 103
Delegated Portfolio Management under Ambiguity Aversion 0 0 0 20 0 1 16 77
Delegated Portfolio Management with Socially Responsible Investment Constraints 0 0 0 72 0 1 11 196
Delta Hedging in Discrete Time under Stochastic Interest Rate 0 0 0 100 0 2 15 291
Evaluating Discrete Dynamic Strategies in Affine Models 0 0 1 29 0 0 15 116
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 39 0 1 11 137
Implicit Incentives for Fund Managers with Partial Information 0 0 0 5 0 0 6 23
Implied Volatilities of Caps: a Gaussian approach 0 0 0 22 0 0 6 75
Measuring the error of dynamic hedging: a Laplace transform approach 0 0 0 40 1 1 11 146
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 1 93 0 1 16 274
Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis 0 0 1 116 1 2 13 256
The IGARCH e®ect: Consequences on volatility forecasting and option trading 0 0 1 86 0 2 11 252
The cost of sustainability on optimal portfolio choices 0 0 0 51 0 1 10 249
The cost of sustainability on optimal portfolio choices 0 0 0 48 0 0 14 251
The value of knowing the market price of risk 0 0 0 8 1 1 7 31
Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? 0 0 2 461 0 4 28 1,279
Total Working Papers 0 0 6 1,252 3 19 207 3,825

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 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 0 0 10 25
Convex incentives in financial markets: an agent-based analysis 0 0 0 2 0 1 2 44
Delegated portfolio management with socially responsible investment constraints 0 0 0 12 0 0 8 70
Efficient option valuation using trees 0 0 0 72 0 1 13 289
Evaluating discrete dynamic strategies in affine models 0 0 0 2 0 0 6 25
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 29 1 1 6 126
Implicit incentives for fund managers with partial information 0 0 0 2 1 2 11 17
Notes and Comments: An approximation of caplet implied volatilities in Gaussian models 0 0 0 29 0 0 9 178
Optimal strategies with option compensation under mean reverting returns or volatilities 0 0 0 1 1 1 7 25
Option pricing with stochastic volatility models 0 0 0 558 1 1 8 1,268
Portfolio allocation in actively managed funds 0 0 1 24 1 2 8 80
Portfolio management with benchmark related incentives under mean reverting processes 0 0 0 7 0 1 12 41
Socially responsible and conventional investment funds: performance comparison and the global financial crisis 0 0 2 55 1 4 15 174
The cost of sustainability in optimal portfolio decisions 0 0 0 22 0 0 8 125
The value of knowing the market price of risk 0 0 0 14 0 1 17 48
Total Journal Articles 0 0 4 840 6 15 147 2,575

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Statistics updated 2026-08-07