| Publication | Date of Publication | Type |
|---|
Gaussian Volterra processes as models of electricity markets
SIAM Journal on Financial Mathematics | 2024-12-04 | Paper |
| Gaussian Volterra processes as models of electricity markets | 2023-11-15 | Paper |
Optimal cross-border electricity trading
SIAM Journal on Financial Mathematics | 2022-03-18 | Paper |
Optimal installation of renewable electricity sources: the case of Italy
Decisions in Economics and Finance | 2022-01-06 | Paper |
Investing in electricity production under a reliability options scheme
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Optimal management of pumped hydroelectric production with state constrained optimal control
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Optimal installation of solar panels with price impact: a solvable singular stochastic control problem
SIAM Journal on Control and Optimization | 2021-09-01 | Paper |
On the singular control of exchange rates
Annals of Operations Research | 2021-01-06 | Paper |
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
Mathematics of Operations Research | 2020-04-30 | Paper |
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
Mathematics of Operations Research | 2020-04-30 | Paper |
Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions
European Journal of Operational Research | 2019-09-09 | Paper |
Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
Mathematics and Financial Economics | 2019-08-30 | Paper |
Super-replication price: it can be ok
ESAIM: Proceedings and Surveys | 2019-01-29 | Paper |
Utility indifference pricing and hedging for structured contracts in energy markets
Mathematical Methods of Operations Research | 2017-08-11 | Paper |
Robustness of shortfall risk minimising strategies in the binomial model
PAMM | 2017-01-25 | Paper |
Portfolio optimization in a defaultable Lévy-driven market model
OR Spectrum | 2015-08-03 | Paper |
Pricing vulnerable claims in a Lévy-driven model
Finance and Stochastics | 2015-02-06 | Paper |
Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Optimal portfolio in a regime-switching model
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
Calibration of a multifactor model for the forward markets of several commodities
Optimization | 2014-02-07 | Paper |
Robustness for path-dependent volatility models
Decisions in Economics and Finance | 2013-11-07 | Paper |
Financial models with dependence on the past: a survey
Applied and Industrial Mathematics in Italy | 2012-01-01 | Paper |
Optimal prepayment and default rules for mortgage-backed securities
Decisions in Economics and Finance | 2010-04-26 | Paper |
| Robustness of the Hobson-Rogers model with respect to the offset function | 2008-07-01 | Paper |
Shortfall risk minimising strategies in the binomial model: characterisation and convergence
Mathematical Methods of Operations Research | 2007-01-05 | Paper |
| scientific article; zbMATH DE number 2217299 (Why is no real title available?) | 2006-09-27 | Paper |
| scientific article; zbMATH DE number 1971728 (Why is no real title available?) | 2004-01-25 | Paper |
Superreplication of European multiasset derivatives with bounded stochastic volatility
Mathematical Methods of Operations Research | 2003-07-16 | Paper |
| scientific article; zbMATH DE number 1971733 (Why is no real title available?) | 2002-01-01 | Paper |
Explicit solutions for shortfall risk minimization in multinomial models.
Decisions in Economics and Finance | 2002-01-01 | Paper |
| scientific article; zbMATH DE number 1642331 (Why is no real title available?) | 2001-09-09 | Paper |
Robustness of the Black-Scholes approach in the case of options on several assets
Finance and Stochastics | 2001-03-01 | Paper |
Invariant measures for the Musiela equation with deterministic diffusion term
Finance and Stochastics | 2000-05-24 | Paper |
