2

Consistent Initial Curves for Interest Rate Models

Angelini, Flavio, Herzel, Stefano
Journal:
The Journal of Derivatives
Year:
2002
Language:
english
File:
PDF, 967 KB
english, 2002
4

Consistent calibration of HJM models to cap implied volatilities

Flavio Angelini, Stefano Herzel
Journal:
Journal of Futures Markets
Year:
2005
Language:
english
File:
PDF, 280 KB
english, 2005
5

Evaluating discrete dynamic strategies in affine models

Angelini, Flavio, Herzel, Stefano
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 475 KB
english, 2015
6

The cost of sustainability in optimal portfolio decisions

Herzel, Stefano, Nicolosi, Marco, Stărică, Cătălin
Journal:
European Journal of Finance
Year:
2012
Language:
english
File:
PDF, 495 KB
english, 2012
9

Efficient option valuation using trees

Heath, David C., Herzel, Stefano
Journal:
Applied Mathematical Finance
Year:
2002
Language:
english
File:
PDF, 315 KB
english, 2002
11

Option pricing with stochastic volatility models

Stefano Herzel
Journal:
Decisions in Economics and Finance
Year:
2000
Language:
english
File:
PDF, 150 KB
english, 2000
13

Delegated portfolio management under ambiguity aversion

Fabretti, Annalisa, Herzel, Stefano, Pınar, Mustafa Ç.
Journal:
Operations Research Letters
Year:
2014
Language:
english
File:
PDF, 635 KB
english, 2014
19

Two interior-point algorithms for a class of convex programming problems

Herzel, Stefano, Todd, Michael
Journal:
Optimization Methods and Software
Year:
1995
Language:
english
File:
PDF, 718 KB
english, 1995