Tiziano Vargiolu
Names
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Tiziano |
| last: |
Vargiolu |
Identifer
Contact
Affiliations
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Universita' di Padova, Dipartimento di Matematica
- http://www.math.unipd.it
- location: Padova, Italy
Research profile
author of:
- Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem (RePEc:arx:papers:1307.1320)
by M. Basei & A. Cesaroni & T. Vargiolu - Utility indifference pricing and hedging for structured contracts in energy markets (RePEc:arx:papers:1407.7725)
by Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu - Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications (RePEc:arx:papers:1605.00039)
by Ren'e Aid & Matteo Basei & Giorgia Callegaro & Luciano Campi & Tiziano Vargiolu - Additive energy forward curves in a Heath-Jarrow-Morton framework (RePEc:arx:papers:1709.03310)
by Fred Espen Benth & Marco Piccirilli & Tiziano Vargiolu - On the Singular Control of Exchange Rates (RePEc:arx:papers:1712.02164)
by Giorgio Ferrari & Tiziano Vargiolu - Optimal Portfolio in Intraday Electricity Markets Modelled by L\'evy-Ornstein-Uhlenbeck Processes (RePEc:arx:papers:1807.01979)
by Marco Piccirilli & Tiziano Vargiolu - Pricing Reliability Options under different electricity prices' regimes (RePEc:arx:papers:1909.05761)
by Luisa Andreis & Maria Flora & Fulvio Fontini & Tiziano Vargiolu - Optimal management of pumped hydroelectric production with state constrained optimal control (RePEc:arx:papers:1909.06854)
by Athena Picarelli & Tiziano Vargiolu - Capturing the power options smile by an additive two-factor model for overlapping futures prices (RePEc:arx:papers:1910.01044)
by Marco Piccirilli & Maren Diane Schmeck & Tiziano Vargiolu - Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem (RePEc:arx:papers:1911.04223)
by Torben Koch & Tiziano Vargiolu - Efficient representation of supply and demand curves on day-ahead electricity markets (RePEc:arx:papers:2002.00507)
by Mariia Soloviova & Tiziano Vargiolu - Optimal Investment and Fair Sharing Rules of the Incentives for Renewable Energy Communities (RePEc:arx:papers:2311.12055)
by Almendra Awerkin & Paolo Falbo & Tiziano Vargiolu - On the Singular Control of Exchange Rates (RePEc:bie:wpaper:594)
by Ferrari, Giorgio & Vargiolu, Tiziano - Capturing the power options smile by an additive two-factor model for overlapping futures prices (RePEc:bie:wpaper:625)
by Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano - Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem (RePEc:bie:wpaper:627)
by Koch, Torben & Vargiolu, Tiziano - Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes (RePEc:bla:ecnote:v:39:y:2010:i:1-2:p:65-90)
by Laura Pasin & Tiziano Vargiolu - Optimal management of pumped hydroelectric production with state constrained optimal control (RePEc:eee:dyncon:v:126:y:2021:i:c:s0165188920301081)
by Picarelli, Athena & Vargiolu, Tiziano - Investing in electricity production under a reliability options scheme (RePEc:eee:dyncon:v:126:y:2021:i:c:s016518892030172x)
by Fontini, Fulvio & Vargiolu, Tiziano & Zormpas, Dimitrios - Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions (RePEc:eee:ejores:v:280:y:2020:i:1:p:383-394)
by Flora, Maria & Vargiolu, Tiziano - Modeling and valuing make-up clauses in gas swing contracts (RePEc:eee:eneeco:v:35:y:2013:i:c:p:58-73)
by Edoli, Enrico & Fiorenzani, Stefano & Ravelli, Samuele & Vargiolu, Tiziano - Mean-reverting no-arbitrage additive models for forward curves in energy markets (RePEc:eee:eneeco:v:79:y:2019:i:c:p:157-170)
by Latini, Luca & Piccirilli, Marco & Vargiolu, Tiziano - Pricing reliability options under different electricity price regimes (RePEc:eee:eneeco:v:87:y:2020:i:c:s014098832030044x)
by Andreis, Luisa & Flora, Maria & Fontini, Fulvio & Vargiolu, Tiziano - Capturing the power options smile by an additive two-factor model for overlapping futures prices (RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320303467)
by Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano - Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications (RePEc:ehl:lserod:100003)
by Aïd, René & Basei, Matteo & Callegaro, Giorgia & Campi, Luciano & Vargiolu, Tiziano - Utility indifference pricing and hedging for structured contracts in energy markets (RePEc:ehl:lserod:68953)
by Callegaro, Giorgia & Campi, Luciano & Giusto, Valeria & Vargiolu, Tiziano - Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications (RePEc:hal:journl:hal-02276874)
by René Aïd & Matteo Basei & Giorgia Callegaro & Luciano Campi & Tiziano Vargiolu - Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications (RePEc:hal:journl:hal-03355609)
by René Aïd & Matteo Basei & Giorgia Callegaro & Luciano Campi & Tiziano Vargiolu - Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications (RePEc:inm:ormoor:v:45:y:2020:i:1:p:205-232)
by René Aïd & Matteo Basei & Giorgia Callegaro & Luciano Campi & Tiziano Vargiolu - On the singular control of exchange rates (RePEc:spr:annopr:v:292:y:2020:i:2:d:10.1007_s10479-019-03441-6)
by Giorgio Ferrari & Tiziano Vargiolu - Optimal prepayment and default rules for mortgage-backed securities (RePEc:spr:decfin:v:33:y:2010:i:1:p:23-47)
by Giulia De Rossi & Tiziano Vargiolu - Robustness for path-dependent volatility models (RePEc:spr:decfin:v:36:y:2013:i:2:p:137-167)
by Mauro Rosestolato & Tiziano Vargiolu & Giovanna Villani - Optimal installation of renewable electricity sources: the case of Italy (RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00365-4)
by Almendra Awerkin & Tiziano Vargiolu - Pricing vulnerable claims in a Lévy-driven model (RePEc:spr:finsto:v:18:y:2014:i:4:p:755-789)
by Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu - Invariant measures for the Musiela equation with deterministic diffusion term (RePEc:spr:finsto:v:3:y:1999:i:4:p:483-492)
by Tiziano Vargiolu - Robustness of the Black-Scholes approach in the case of options on several assets (RePEc:spr:finsto:v:4:y:2000:i:3:p:325-341)
by Tiziano Vargiolu & Silvia Romagnoli - Superreplication of European multiasset derivatives with bounded stochastic volatility (RePEc:spr:mathme:v:55:y:2002:i:1:p:69-91)
by Fausto Gozzi & Tiziano Vargiolu - Shortfall risk minimising strategies in the binomial model: characterisation and convergence (RePEc:spr:mathme:v:64:y:2006:i:2:p:237-253)
by Gino Favero & Tiziano Vargiolu - Utility indifference pricing and hedging for structured contracts in energy markets (RePEc:spr:mathme:v:85:y:2017:i:2:d:10.1007_s00186-016-0569-6)
by Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu - Variables Reduction in Sequential Resource Allocation Problems (RePEc:uts:rpaper:406)
by Juri Hinz & Tiziano Vargiolu