| Socially responsible and conventional investment funds: performance comparison and the global financial crisis L Becchetti, R Ciciretti, A Dalò, S Herzel Applied Economics 47 (25), 2541-2562, 2015 | 200 | 2015 |
| A quadratically convergent method for linear programming S Herzel, MC Recchioni, F Zirilli Linear Algebra and its Applications 152, 255-289, 1991 | 37 | 1991 |
| The cost of sustainability in optimal portfolio decisions S Herzel, M Nicolosi, C Stărică The European Journal of Finance 18 (3-4), 333-349, 2012 | 35 | 2012 |
| Consistent calibration of HJM models to cap implied volatilities F Angelini, S Herzel Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2005 | 30 | 2005 |
| Portfolio management with benchmark related incentives under mean reverting processes M Nicolosi, F Angelini, S Herzel Annals of Operations Research 266, 373-394, 2018 | 25 | 2018 |
| Why does the GARCH (1, 1) model fail to provide sensible longer-horizon volatility forecasts C Starica, S Herzel, T Nord Manuscript, Chalmers University of Technology, 1-44, 2005 | 22 | 2005 |
| A simple model for option pricing with jumping stochastic volatility S Herzel International Journal of Theoretical and Applied Finance 1 (04), 487-505, 1998 | 21 | 1998 |
| Measuring the error of dynamic hedging: a Laplace transform approach F Angelini, S Herzel Journal of Computational Finance 13 (2), 47, 2009 | 20 | 2009 |
| Consistent initial curves for interest rate models F Angelini, S Herzel Journal of Derivatives 9 (4), 8-17, 2002 | 20 | 2002 |
| Arbitrage opportunities on derivatives: A linear programming approach S Herzel DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS SERIES B 12 (4), 589, 2005 | 18 | 2005 |
| Option pricing with stochastic volatility models S Herzel Decisions in Economics and Finance 23, 75-99, 2000 | 16 | 2000 |
| Explicit formulas for the minimal variance hedging strategy in a martingale case F Angelini, S Herzel Decisions in Economics and Finance 33, 63-79, 2010 | 15 | 2010 |
| A non-stationary paradigm for the dynamics of multivariate financial returns S Herzel, C Stărică, R Tütüncüc Dependence in Probability and Statistics, 391-429, 2006 | 14 | 2006 |
| The value of knowing the market price of risk K Colaneri, S Herzel, M Nicolosi Annals of Operations Research 299 (1), 101-131, 2021 | 13 | 2021 |
| Delegated portfolio management with socially responsible investment constraints A Fabretti, S Herzel The European Journal of Finance 18 (3-4), 293-309, 2012 | 12 | 2012 |
| Delegated portfolio management under ambiguity aversion A Fabretti, S Herzel, MÇ Pınar Operations Research Letters 42 (2), 190-195, 2014 | 11 | 2014 |
| Delta hedging in discrete time under stochastic interest rate F Angelini, S Herzel Journal of Computational and Applied Mathematics 259, 385-393, 2014 | 10 | 2014 |
| The cost of sustainability on optimal portfolio choices S Herzel, M Nicolosi, C Starica European Journal of Finance 1, 1-17, 2011 | 10 | 2011 |
| Evaluating discrete dynamic strategies in affine models F Angelini, S Herzel Quantitative Finance 15 (2), 313-326, 2015 | 9 | 2015 |
| Convex incentives in financial markets: an agent-based analysis A Fabretti, T Gärling, S Herzel, M Holmen Decisions in Economics and Finance 40, 375-395, 2017 | 8 | 2017 |
Maria Cristina RecchioniFull Professor in Statistics, Università Politecnica delle MarcheVerified email at univpm.it
