Stefano Herzel

Available identifiers

Publication	Date of Publication	Type
Implicit incentives for fund managers with partial information	2023-08-04	Paper
The value of knowing the market price of risk	2021-11-08	Paper
Optimal strategies with option compensation under mean reverting returns or volatilities	2019-02-18	Paper
Portfolio management with benchmark related incentives under mean reverting processes	2018-11-12	Paper
The Value of Information for Optimal Portfolio Management	2018-10-12	Paper
Evaluating discrete dynamic strategies in affine models	2018-09-19	Paper
Delegated portfolio management under ambiguity aversion	2018-08-27	Paper
Convex incentives in financial markets: an agent-based analysis	2018-01-31	Paper
Delta hedging in discrete time under stochastic interest rate	2015-06-17	Paper
https://portal.mardi4nfdi.de/entity/Q3565331	2010-06-03	Paper
Explicit formulas for the minimal variance hedging strategy in a martingale case	2010-04-26	Paper
Measuring the error of dynamic hedging: a Laplace transform approach	2010-02-05	Paper
A non-stationary paradigm for the dynamics of multivariate financial returns	2007-01-09	Paper
An approximation of caplet implied volatilities in Gaussian models	2006-03-09	Paper
https://portal.mardi4nfdi.de/entity/Q3371142	2006-02-21	Paper
Option pricing with stochastic volatility models.	2002-05-27	Paper
Efficient option valuation using trees	2002-01-01	Paper
A Simple Model for Option Pricing with Jumping Stochastic Volatility	2001-06-06	Paper
A quadratically convergent method for linear programming	1991-01-01	Paper

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