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Local volatility function models under a benchmark approach

Heath, David C.; Platen, Eckhard - 2004

Persistent link: https://www.econbiz.de/10002253940

A comparison of two quadratic approaches to hedging in incomplete markets

Heath, David C.; Platen, Eckhard; Schweizer, Martin - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 385-413

Persistent link: https://www.econbiz.de/10001620447

A simple model for option pricing with jumping stochastic volatility

Herzel, Stefano - In: International journal of theoretical and applied finance 1 (1998) 4, pp. 487-505

Persistent link: https://www.econbiz.de/10001255558

Consistent calibration of HJM models to cap implied volatilities

Angelini, Flavio; Herzel, Stefano - In: The journal of futures markets 25 (2005) 11, pp. 1093-1120

Persistent link: https://www.econbiz.de/10003222761

An approximation of caplet implied volatilities in Gaussian models

Angelini, Flavio; Herzel, Stefano - In: Decisions in economics and finance : DEF ; a journal of … 28 (2005) 2, pp. 113-127

Persistent link: https://www.econbiz.de/10003231310

Optimal Strategies with Option Compensation Under Mean Reverting Returns or Volatilities

Herzel, Stefano - 2018

We study the problem of a fund manager whose contractual incentive is given by the sum of a constant and a variable term. The manager has a power utility function and the continuous time stochastic processes driving the dynamics of the market prices exhibit mean reversion either in the...

Persistent link: https://www.econbiz.de/10012930916

Optimal strategies with option compensation under mean reverting returns or volatilities

Herzel, Stefano; Nicolosi, Marco - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 47-69

Persistent link: https://www.econbiz.de/10011993415