Stefano Herzel

MaRDI QIDQ206420zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A reinforcement learning algorithm for trading commodities Applied Stochastic Models in Business and Industry	2024-07-30	Paper
Implicit incentives for fund managers with partial information Computational Management Science	2023-08-04	Paper
The value of knowing the market price of risk Annals of Operations Research	2021-11-08	Paper
Optimal strategies with option compensation under mean reverting returns or volatilities Computational Management Science	2019-02-18	Paper
Portfolio management with benchmark related incentives under mean reverting processes Annals of Operations Research	2018-11-12	Paper
The value of information for optimal portfolio management Mathematical and Statistical Methods for Actuarial Sciences and Finance	2018-10-12	Paper
Evaluating discrete dynamic strategies in affine models Quantitative Finance	2018-09-19	Paper
Delegated portfolio management under ambiguity aversion Operations Research Letters	2018-08-27	Paper
Convex incentives in financial markets: an agent-based analysis Decisions in Economics and Finance	2018-01-31	Paper
Delta hedging in discrete time under stochastic interest rate Journal of Computational and Applied Mathematics	2015-06-17	Paper
Approximating the exact value of an american option	2010-06-03	Paper
Explicit formulas for the minimal variance hedging strategy in a martingale case Decisions in Economics and Finance	2010-04-26	Paper
Measuring the error of dynamic hedging: a Laplace transform approach The Journal of Computational Finance	2010-02-05	Paper
A non-stationary paradigm for the dynamics of multivariate financial returns Lecture Notes in Statistics	2007-01-09	Paper
An approximation of caplet implied volatilities in Gaussian models Decisions in Economics and Finance	2006-03-09	Paper
Arbitrage opportunities on derivatives: a linear programming approach	2006-02-21	Paper
Option pricing with stochastic volatility models. Decisions in Economics and Finance	2002-05-27	Paper
Efficient option valuation using trees Applied Mathematical Finance	2002-01-01	Paper
A simple model for option pricing with jumping stochastic volatility International Journal of Theoretical and Applied Finance	2001-06-06	Paper
A quadratically convergent method for linear programming Linear Algebra and its Applications	1991-01-01	Paper

Research outcomes over time

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