Details about Stefano Herzel

Access statistics for papers by Stefano Herzel.

Last updated 2022-03-23. Update your information in the RePEc Author Service.

Short-id: phe192

Working Papers

2020

1. Implicit Incentives for Fund Managers with Partial Information
   Papers, arXiv.org
   See also Journal Article Implicit incentives for fund managers with partial information, Computational Management Science, Springer (2021) (2021)

2019

2. The value of knowing the market price of risk
   Papers, arXiv.org View citations (1)
   See also Journal Article The value of knowing the market price of risk, Annals of Operations Research, Springer (2021) View citations (6) (2021)

2015

3. Convex Incentives in Financial Markets: an Agent-Based Analysis
   CEIS Research Paper, Tor Vergata University, CEIS
   See also Journal Article Convex incentives in financial markets: an agent-based analysis, Decisions in Economics and Finance, Springer (2017) (2017)

2014

4. Delegated Portfolio Management under Ambiguity Aversion
   CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
5. Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis
   Working Paper series, Rimini Centre for Economic Analysis View citations (13)
   Also in CEIS Research Paper, Tor Vergata University, CEIS (2014) View citations (13)
   See also Journal Article Socially responsible and conventional investment funds: performance comparison and the global financial crisis, Applied Economics, Taylor & Francis Journals (2015) View citations (45) (2015)

2013

6. Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi
   Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia

2012

7. Delta Hedging in Discrete Time under Stochastic Interest Rate
   Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (1)

2011

8. The cost of sustainability on optimal portfolio choices
   Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (7)
   Also in Sustainable Investment and Corporate Governance Working Papers, Sustainable Investment Research Platform (2010)
   See also Journal Article The cost of sustainability in optimal portfolio decisions, The European Journal of Finance, Taylor & Francis Journals (2012) View citations (10) (2012)

2010

9. Delegated Portfolio Management with Socially Responsible Investment Constraints
   Sustainable Investment and Corporate Governance Working Papers, Sustainable Investment Research Platform View citations (2)
   See also Journal Article Delegated portfolio management with socially responsible investment constraints, The European Journal of Finance, Taylor & Francis Journals (2012) View citations (4) (2012)

2009

10. Evaluating Discrete Dynamic Strategies in Affine Models
    Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (8)
    See also Journal Article Evaluating discrete dynamic strategies in affine models, Quantitative Finance, Taylor & Francis Journals (2015) View citations (2) (2015)

2007

11. Explicit formulas for the minimal variance hedging strategy in a martingale case
    Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (7)
    See also Journal Article Explicit formulas for the minimal variance hedging strategy in a martingale case, Decisions in Economics and Finance, Springer (2010) View citations (2) (2010)
12. Measuring the error of dynamic hedging: a Laplace transform approach
    Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (14)
13. The IGARCH e®ect: Consequences on volatility forecasting and option trading
    Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (6)

2005

14. Implied Volatilities of Caps: a Gaussian approach
    Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (7)
15. Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?
    Econometrics, University Library of Munich, Germany View citations (12)

Journal Articles

2021

1. Implicit incentives for fund managers with partial information
   Computational Management Science, 2021, 18, (4), 539-561
   See also Working Paper Implicit Incentives for Fund Managers with Partial Information, Papers (2020) (2020)
2. The value of knowing the market price of risk
   Annals of Operations Research, 2021, 299, (1), 101-131 View citations (6)
   See also Working Paper The value of knowing the market price of risk, Papers (2019) View citations (1) (2019)

2019

3. Optimal strategies with option compensation under mean reverting returns or volatilities
   Computational Management Science, 2019, 16, (1), 47-69 View citations (4)

2018

4. Portfolio management with benchmark related incentives under mean reverting processes
   Annals of Operations Research, 2018, 266, (1), 373-394 View citations (11)

2017

5. An Agent Based Model for a Double Auction with Convex Incentives
   Journal of Artificial Societies and Social Simulation, 2017, 20, (1), 7 View citations (2)
6. Convex incentives in financial markets: an agent-based analysis
   Decisions in Economics and Finance, 2017, 40, (1), 375-395
   See also Working Paper Convex Incentives in Financial Markets: an Agent-Based Analysis, CEIS Research Paper (2015) (2015)
7. Portfolio allocation in actively managed funds
   Economics Bulletin, 2017, 37, (3), 1688-1693 View citations (1)

2015

8. Evaluating discrete dynamic strategies in affine models
   Quantitative Finance, 2015, 15, (2), 313-326 View citations (2)
   See also Working Paper Evaluating Discrete Dynamic Strategies in Affine Models, Quaderni del Dipartimento di Economia, Finanza e Statistica (2009) View citations (8) (2009)
9. Socially responsible and conventional investment funds: performance comparison and the global financial crisis
   Applied Economics, 2015, 47, (25), 2541-2562 View citations (45)
   See also Working Paper Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis, Working Paper series (2014) View citations (13) (2014)

2012

10. Delegated portfolio management with socially responsible investment constraints
    The European Journal of Finance, 2012, 18, (3-4), 293-309 View citations (4)
    See also Working Paper Delegated Portfolio Management with Socially Responsible Investment Constraints, Sustainable Investment and Corporate Governance Working Papers (2010) View citations (2) (2010)
11. The cost of sustainability in optimal portfolio decisions
    The European Journal of Finance, 2012, 18, (3-4), 333-349 View citations (10)
    See also Working Paper The cost of sustainability on optimal portfolio choices, Quaderni del Dipartimento di Economia, Finanza e Statistica (2011) View citations (7) (2011)

2010

12. Explicit formulas for the minimal variance hedging strategy in a martingale case
    Decisions in Economics and Finance, 2010, 33, (1), 63-79 View citations (2)
    See also Working Paper Explicit formulas for the minimal variance hedging strategy in a martingale case, Quaderni del Dipartimento di Economia, Finanza e Statistica (2007) View citations (7) (2007)

2006

13. Notes and Comments: An approximation of caplet implied volatilities in Gaussian models
    Decisions in Economics and Finance, 2006, 28, (2), 113-127 View citations (1)

2005

14. Consistent calibration of HJM models to cap implied volatilities
    Journal of Futures Markets, 2005, 25, (11), 1093-1120 View citations (6)

2002

15. Efficient option valuation using trees
    Applied Mathematical Finance, 2002, 9, (3), 163-178

2000

16. Option pricing with stochastic volatility models
    Decisions in Economics and Finance, 2000, 23, (2), 75-99 View citations (1)

1998

17. A Simple Model for Option Pricing with Jumping Stochastic Volatility
    International Journal of Theoretical and Applied Finance (IJTAF), 1998, 01, (04), 487-505 View citations (3)