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Evaluating discrete dynamic strategies in affine modelsAngelini, Flavio; Herzel, Stefano · Quantitative Finance · 2015
Consistent Initial Curves for Interest Rate ModelsAngelini, Flavio; Herzel, Stefano · The Journal of Derivatives · 2002
Consistent calibration of HJM models to cap implied volatilitiesFlavio Angelini; Stefano Herzel · 2005
Delta hedging in discrete time under stochastic interest rateAngelini, Flavio; Herzel, Stefano · Journal of Computational and Applied Mathematics · 2014
Notes and Comments:An approximation of caplet implied volatilities in Gaussian modelsFlavio Angelini; Stefano Herzel · 2006