The following pages link to Stefano Herzel (Q206420):
Displaying 20 items.
- A quadratically convergent method for linear programming (Q808185) (← links)
- An approximation of caplet implied volatilities in Gaussian models (Q816447) (← links)
- Explicit formulas for the minimal variance hedging strategy in a martingale case (Q965780) (← links)
- Portfolio management with benchmark related incentives under mean reverting processes (Q1621923) (← links)
- Delegated portfolio management under ambiguity aversion (Q1667217) (← links)
- Convex incentives in financial markets: an agent-based analysis (Q1693864) (← links)
- Optimal strategies with option compensation under mean reverting returns or volatilities (Q1722748) (← links)
- The value of knowing the market price of risk (Q2241058) (← links)
- Delta hedging in discrete time under stochastic interest rate (Q2349604) (← links)
- A Simple Model for Option Pricing with Jumping Stochastic Volatility (Q2703110) (← links)
- (Q3371142) (← links)
- Measuring the error of dynamic hedging: a Laplace transform approach (Q3400796) (← links)
- A non-stationary paradigm for the dynamics of multivariate financial returns (Q3416901) (← links)
- (Q3565331) (← links)
- Evaluating discrete dynamic strategies in affine models (Q4683013) (← links)
- The Value of Information for Optimal Portfolio Management (Q4689049) (← links)
- Efficient option valuation using trees (Q4804518) (← links)
- Option pricing with stochastic volatility models. (Q5944941) (← links)
- Implicit incentives for fund managers with partial information (Q6166931) (← links)
- A reinforcement learning algorithm for trading commodities (Q6581595) (← links)
