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Stefano Herzel

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This is information that was supplied by Stefano Herzel in registering through RePEc. If you are Stefano Herzel , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Stefano
Middle Name:
Last Name: Herzel
Suffix:

RePEc Short-ID: phe192

Email: [This author has chosen not to make the email address public]
Homepage: http://www.economia.uniroma2.it/nuovo/facolta/docenti/docenti.asp?idProfessore=527
Postal Address:
Phone:

Affiliation

Dipartimento di Economia e Finanza
Facoltà di Economia
Università degli Studi di Roma "Tor Vergata"
Location: Roma, Italy
Homepage: http://www.economia.uniroma2.it/def/default.asp?a=1354
Email:
Phone: +39 +6 +72595502
Fax: +39 +6 +72595504
Postal: Via Columbia 2, 00133 Roma
Handle: RePEc:edi:dsrotit (more details at EDIRC)

Works

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Working papers

  1. Flavio ANGELINI & Stefano HERZEL & Marco NICOLOSI, 2013. "Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi," Quaderni del Dipartimento di Economia, Finanza e Statistica 118/2013, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  2. Flavio ANGELINI & Stefano HERZEL, 2012. "Delta Hedging in Discrete Time under Stochastic Interest Rate," Quaderni del Dipartimento di Economia, Finanza e Statistica 110/2012, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  3. Stefano Herzel & Marco Nicolosi & Catalin Starica, 2011. "The cost of sustainability on optimal portfolio choices," Quaderni del Dipartimento di Economia, Finanza e Statistica 84/2011, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  4. Fabretti, Annalisa & Herzel, Stefano, 2010. "Delegated Portfolio Management with Socially Responsible Investment Constraints," Sustainable Investment and Corporate Governance Working Papers 2010/7, Sustainable Investment Research Platform.
  5. Flavio Angelini & Stefano Herzel, 2009. "Evaluating Discrete Dynamic Strategies in Affine Models," Quaderni del Dipartimento di Economia, Finanza e Statistica 71/2009, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  6. Flavio Angelini & Stefano Herzel, 2007. "Measuring the error of dynamic hedging: a Laplace transform approach," Quaderni del Dipartimento di Economia, Finanza e Statistica 33/2007, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  7. Stefano HERZEL & Catalin STARICA & Thomas NORD, 2007. "The IGARCH e®ect: Consequences on volatility forecasting and option trading," Quaderni del Dipartimento di Economia, Finanza e Statistica 34/2007, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  8. Flavio Angelini & Stefano Herzel, 2007. "Explicit formulas for the minimal variance hedging strategy in a martingale case," Quaderni del Dipartimento di Economia, Finanza e Statistica 35/2007, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  9. Catalin Starica & Stefano Herzel & Tomas Nord, 2005. "Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?," Econometrics 0508003, EconWPA.
  10. Flavio Angelini & Stefano Herzel, 2005. "Implied Volatilities of Caps: a Gaussian approach," Quaderni del Dipartimento di Economia, Finanza e Statistica 09/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.

Articles

  1. Flavio Angelini & Stefano Herzel, 2010. "Explicit formulas for the minimal variance hedging strategy in a martingale case," Decisions in Economics and Finance, Springer, vol. 33(1), pages 63-79, May.
  2. Flavio Angelini & Stefano Herzel, 2006. "Notes and Comments: An approximation of caplet implied volatilities in Gaussian models," Decisions in Economics and Finance, Springer, vol. 28(2), pages 113-127, 02.
  3. David Heath & Stefano Herzel, 2002. "Efficient option valuation using trees," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(3), pages 163-178.
  4. Stefano Herzel, 2000. "Option pricing with stochastic volatility models," Decisions in Economics and Finance, Springer, vol. 23(2), pages 75-99.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2005-08-13
  2. NEP-CTA: Contract Theory & Applications (1) 2010-06-26
  3. NEP-ECM: Econometrics (1) 2005-08-13
  4. NEP-ETS: Econometric Time Series (1) 2005-08-13
  5. NEP-FOR: Forecasting (1) 2005-08-13
  6. NEP-PPM: Project, Program & Portfolio Management (1) 2010-06-26

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