HERZEL, STEFANO
HERZEL, STEFANO
Dipartimento di Economia e Finanza
A non-stationary paradigm for the dynamics of multivariate financial returns
2006-01-01 Herzel, S; Catalin, S; Tutuncu, R
A reinforcement learning algorithm for trading commodities
2024-01-01 Giorgi, F; Herzel, S; Pigato, P
A Simple model for option pricing with jumping stochastic volatility
1998-01-01 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
An agent-based model for a double auction with convex incentives
2017-01-01 Fabretti, A; Herzel, S
An Agent-Based Model to Study the Impact of Convex Incentives on Financial Markets
2016-01-01 Fabretti, A; Gärling, T; Herzel, S; Holmen, M
An approximation of caplet implied volatilities in Gaussian models
2006-01-01 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
Consistent initial curves for interest rate models
2002-01-01 Angelini, F; Herzel, S
Convex incentives in financial markets: an agent-based analysis
2017-01-01 Fabretti, A; Garling, T; Herzel, S; Holmen, M
Delegated portfolio management under ambiguity aversion
2014-01-01 Fabretti, A; Herzel, S; Pınar, M
Delegated portfolio management with socially responsible investment constraints
2012-01-01 Fabretti, A; Herzel, S
Delta hedging in discrete time under stochastic interest rate
2014-01-01 Angelini, F; Herzel, S
Efficient option valuation using trees
2002-01-01 Heath, D; Herzel, S
Evaluating discrete dynamic strategies in affine models
2012-01-01 Angelini, F; Herzel, S
Explicit formulas for the minimal variance hedging strategy in a martingale case
2010-01-01 Angelini, F; Herzel, S
Implicit incentives for fund managers with partial information
2021-01-01 Angelini, F; Colaneri, K; Herzel, S; Nicolosi, M