4
H index
1
i10 index
48
Citations
Stefano Herzel : Citation Profile
Università degli Studi di Roma "Tor Vergata" | RESEARCH PRODUCTION: 4 Articles 10 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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13 years (2000 - 2013). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Stefano Herzel. | Is cited by:
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Main data
Where Stefano Herzel has published?
| Journals with more than one article published | # docs |
|---|---|
| Decisions in Economics and Finance | 3 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Quaderni del Dipartimento di Economia, Finanza e Statistica / Università di Perugia, Dipartimento Economia | 8 |
Recent works citing Stefano Herzel (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2018 | $\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance. (2018). Labahn, George ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:1710.08450. Full description at Econpapers || Download paper |
| 2018 | Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. (2018). Hasanov, Akram Shavkatovich ; Heng, Zin Yau ; Al-Freedi, Ajab ; Poon, Wai Ching. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:307-333. Full description at Econpapers || Download paper |
| 2019 | Doing Well by Doing Good: A Systematic Review and Research Agenda for Sustainable Investment. (2019). Talan, Gaurav ; Sharma, Gagan Deep . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:2:p:353-:d:196966. Full description at Econpapers || Download paper |
| 2019 | The Vote with the Wallet Game: Responsible Consumerism as a Multiplayer Prisoner’s Dilemma. (2019). Salustri, Francesco ; Becchetti, Leonardo. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:4:p:1109-:d:207619. Full description at Econpapers || Download paper |
| 2017 | FORECASTING WITH GARCH MODELS UNDER STRUCTURAL BREAKS: AN APPROACH BASED ON COMBINATIONS ACROSS ESTIMATION WINDOWS. (2017). De Gaetano, Davide. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0219. Full description at Econpapers || Download paper |
| 2018 | Portfolio management with benchmark related incentives under mean reverting processes. (2018). nicolosi, marco ; Herzel, Stefano ; Angelini, Flavio . In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2535-y. Full description at Econpapers || Download paper |
| 2018 | Learning minimum variance discrete hedging directly from the market. (2018). Nian, KE ; Li, Yuying ; Coleman, Thomas F. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:7:p:1115-1128. Full description at Econpapers || Download paper |
Works by Stefano Herzel:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2010 | Delegated Portfolio Management with Socially Responsible Investment Constraints In: Sustainable Investment and Corporate Governance Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2005 | Implied Volatilities of Caps: a Gaussian approach. In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 4 |
| 2012 | Delta Hedging in Discrete Time under Stochastic Interest Rate In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Measuring the error of dynamic hedging: a Laplace transform approach In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 8 |
| 2007 | The IGARCH e®ect: Consequences on volatility forecasting and option trading In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 3 |
| 2007 | Explicit formulas for the minimal variance hedging strategy in a martingale case In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 5 |
| 2010 | Explicit formulas for the minimal variance hedging strategy in a martingale case.(2010) In: Decisions in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 2009 | Evaluating Discrete Dynamic Strategies in Affine Models In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 4 |
| 2011 | The cost of sustainability on optimal portfolio choices In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 7 |
| 2000 | Option pricing with stochastic volatility models In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2006 | Notes and Comments: An approximation of caplet implied volatilities in Gaussian models In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2002 | Efficient option valuation using trees In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2005 | Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? In: Econometrics. [Full Text][Citation analysis] | paper | 12 |
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