Sfoglia per Autore
Consistent Initial Curves for Interest Rate Models
2002 Angelini, Flavio; Herzel, S.
Fitting multifactor HJM models with consistent families
2002 Angelini, Flavio; Herzel, Stefano
An analysis of Italian financial data using extreme value theory
2002 Angelini, Flavio
Volatilità implicite di derivati su tasso d’interesse
2003 Angelini, Flavio; Herzel, Stefano
Implied volatilities of caps: a Gaussian approach
2005 Angelini, Flavio; Herzel, S.
An approximation of caplet implied volatilities in Gaussian models
2005 Angelini, Flavio; Herzel, S.
Consistent Calibration of HJM Models to Implied Volatilities
2005 Angelini, Flavio; Herzel, S.
Measuring the error of dynamic hedging: a Laplace transform approach
2007 Angelini, Flavio; Herzel, S.
Explicit formulas for the minimal variance hedging strategy in a martingale case
2007 Angelini, Flavio; Herzel, S.
Hedging Error in Lévy models with a Fast Fourier Transform approach
2008 Angelini, Flavio; Nicolosi, Marco
Measuring the error of dynamic hedging:a Laplace transform approach
2009 Angelini, Flavio; Herzel, S.
Explicit formulas for the minimal variance hedging strategy in a martingale case
2010 Angelini, Flavio; Herzel, S.
On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error
2010 Angelini, Flavio; Nicolosi, Marco
Delta Hedging in Discrete Time under Stochastic Interest Rate
2012 Angelini, Flavio; Herzel, Stefano
La vera storia di XS0189741001. Sul VaR di una obbligazione Lehman a tasso variabile
2013 Angelini, Flavio
Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi
2013 Angelini, Flavio; Herzel, Stefano; Nicolosi, Marco
Delta hedging in discrete time under stochastic interest rate
2014 Angelini, Flavio; Herzel, Stefano
Evaluating discrete dynamic strategies in affine models
2015 Angelini, Flavio; Herzel, Stefano
Portfolio management with benchmark related incentives under mean reverting processes
2018 Nicolosi, Marco; Angelini, Flavio; Herzel, Stefano
Value at Risk of a Lehman Bond
2019 Angelini, Flavio
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