Affiliation: Department of Economics and Finance (DEF) - University of Tor Vergata
Other Affiliation: Handels school of Economics, University of Goteborg
Address: via Columbia n. 2, 00133 Roma
Telephone: +39 06 7259 5946
Research Interests: Mathematical Finance, Socially Responsible Investments
Stefano Herzel is professor of Mathematical Finance at the University of Rome "Tor Vergata". He graduated from the faculty of mathematics at "La Sapienza" –University of Rome – in 1989 and earned his doctoral degree in Applied Mathematics from Cornell University in 1997. He was a faculty member at the University of Perugia. His research interests include Quantitative Finance and Sustainable Investments. He is a Visiting Professor in Mathematical Finance at the School of Business, Economics and Law of the University of Gothenburg. He is a member of the Scientific Comittee of the AMASES and is the coordinator of the M.Sc. in Economics and of Finance and Banking at the University of Tor Vergata.
- Delegated Portfolio Management with Socially Responsible Investment Con-straints, (with A. Fabretti) EUROPEAN JOURNAL OF FINANCE, 18, p. 293-309, doi: 10.1080/1351847X.2011.579746 (2012)
- The cost of sustainability in optimal portfolio decisions, (with M. Nicolosi and C. Starica) EUROPEAN JOURNAL OF FINANCE, 18, p. 333-349, doi: 10.1080/1351847X.2011.587521 (2012)
- Evaluating discrete dynamic strategies in ane models , (with F. Angelini) QUANTITATIVE FINANCE, doi: 10.1080/14697688.2011.637075 (2011)
- Measuring the error of dynamic hedging: a Laplace transform approach, (with F. Angelini), Journal of Computational Finance, Vol.13, No. 12, Winter 2009/10
- Modeling the default risk in large credit portfolios, (with B. Acciaio), "In-ternational Journal of Risk Assessment and Management", vol. 14, p. 479-503 (2010)
Events & Presentations
Research Programs & Projects
- He is the coordinator for Italy of the international and interdisciplinary research program "Sustainable Investment Research Platform", sponsored by Mistra, the Foundation for Strategic Environmental Research in Sweden.