Sfoglia per Autore HERZEL, STEFANO
Two interior-point algorithms for a class of convex programming problems
1995-01-01 Herzel, S; Todd, M
A Simple model for option pricing with jumping stochastic volatility
1998-01-01 Herzel, S
Option pricing with stochastic volatility models
2000-01-01 Herzel, S
Efficient option valuation using trees
2002-01-01 Heath, D; Herzel, S
Consistent initial curves for interest rate models
2002-01-01 Angelini, F; Herzel, S
Approximating the exact value of an American option
2004-01-01 Herzel, S
Arbitrage opportunities on derivatives: a linear programming approach
2005-01-01 Herzel, S
Consistent calibration of HJM models to implied volatilities
2005-01-01 Angelini, F; Herzel, S
A non-stationary paradigm for the dynamics of multivariate financial returns
2006-01-01 Herzel, S; Catalin, S; Tutuncu, R
An approximation of caplet implied volatilities in Gaussian models
2006-01-01 Angelini, F; Herzel, S
Measuring the error of dynamic hedging: a Laplace transform approach
2009-01-01 Angelini, F; Herzel, S
Measuring and managing financial risk
2009-01-01 Herzel, S; Cerrato, M
Explicit formulas for the minimal variance hedging strategy in a martingale case
2010-01-01 Angelini, F; Herzel, S
Modeling the default risk in large credit portfolios
2010-01-01 Acciaio, B; Herzel, S
Evaluating discrete dynamic strategies in affine models
2012-01-01 Angelini, F; Herzel, S
The cost of sustainability in optimal portfolio decisions
2012-01-01 Herzel, S; Nicolosi, M; Starica, C
Delegated portfolio management with socially responsible investment constraints
2012-01-01 Fabretti, A; Herzel, S
A Socially responsible portfolio selection strategy
2013-01-01 Herzel, S; Nicolosi, M
Active management of socially responsible portfolios
2013-01-01 Fabretti, A; Herzel, S
Delegated portfolio management under ambiguity aversion
2014-01-01 Fabretti, A; Herzel, S; Pınar, M
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