Tiziano Vargiolu

15 papers Journal 15
YearRankTypeTitle / Venue / Authors
2024 J jnl
Gaussian Volterra Processes as Models of Electricity Markets.
SIAM J. Financial Math.
Yuliya Mishura, Stefania Ottaviano, Tiziano Vargiolu
2024 J jnl
Recent advances in mathematical methods for finance.
Ann. Oper. Res.
Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu
2022 J jnl
Optimal Cross-Border Electricity Trading.
SIAM J. Financial Math.
Álvaro Cartea, Maria Flora, Tiziano Vargiolu, Georgi Slavov
2021 J jnl
Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem.
SIAM J. Control. Optim.
Torben Koch, Tiziano Vargiolu
2020 J jnl
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications.
Math. Oper. Res.
René Aïd, Matteo Basei, Giorgia Callegaro, Luciano Campi, Tiziano Vargiolu
2020 J jnl
On the singular control of exchange rates.
Ann. Oper. Res.
Giorgio Ferrari, Tiziano Vargiolu
2020 J jnl
Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions.
Eur. J. Oper. Res.
Maria Flora, Tiziano Vargiolu
2017 J jnl
Utility indifference pricing and hedging for structured contracts in energy markets.
Math. Methods Oper. Res.
Giorgia Callegaro, Luciano Campi, Valeria Giusto, Tiziano Vargiolu
2015 J jnl
Portfolio optimization in a defaultable Lévy-driven market model.
OR Spectr.
Stefano Pagliarani, Tiziano Vargiolu
2014 J jnl
Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem.
SIAM J. Financial Math.
Matteo Basei, Annalisa Cesaroni, Tiziano Vargiolu
2014 J jnl
Pricing vulnerable claims in a Lévy-driven model.
Finance Stochastics
Agostino Capponi, Stefano Pagliarani, Tiziano Vargiolu
2006 J jnl
Shortfall risk minimising strategies in the binomial model: characterisation and convergence.
Math. Methods Oper. Res.
Gino Favero, Tiziano Vargiolu
2002 J jnl
Superreplication of European multiasset derivatives with bounded stochastic volatility.
Math. Methods Oper. Res.
Fausto Gozzi, Tiziano Vargiolu
2000 J jnl
Robustness of the Black-Scholes approach in the case of options on several assets.
Finance Stochastics
Silvia Romagnoli, Tiziano Vargiolu
1999 J jnl
Invariant measures for the Musiela equation with deterministic diffusion term.
Finance Stochastics
Tiziano Vargiolu