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
Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi 0 0 0 16 2 6 7 70
Delegated Portfolio Management with Socially Responsible Investment Constraints 0 0 0 67 0 0 0 176
Delta Hedging in Discrete Time under Stochastic Interest Rate 0 0 1 89 2 2 7 240
Evaluating Discrete Dynamic Strategies in Affine Models 0 0 0 27 2 5 22 92
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 37 1 5 6 106
Implied Volatilities of Caps: a Gaussian approach 0 0 0 17 1 2 4 60
Measuring the error of dynamic hedging: a Laplace transform approach 0 0 0 36 1 3 4 124
The IGARCH e®ect: Consequences on volatility forecasting and option trading 0 0 0 80 2 3 6 213
The cost of sustainability on optimal portfolio choices 0 1 2 50 4 6 10 207
Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? 0 1 6 437 0 3 18 1,134
Total Working Papers 0 2 9 856 15 35 84 2,422


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Efficient option valuation using trees 0 0 0 72 0 0 0 274
Explicit formulas for the minimal variance hedging strategy in a martingale case 0 0 0 26 0 0 2 106
Notes and Comments: An approximation of caplet implied volatilities in Gaussian models 0 0 0 29 0 0 1 161
Option pricing with stochastic volatility models 0 0 0 557 1 2 3 1,252
Total Journal Articles 0 0 0 684 1 2 6 1,793


Statistics updated 2019-11-03