Tiziano Vargiolu

From MaRDI portal
Person:377784

Available identifiers

zbMath Open vargiolu.tizianoWikidataQ102304994 ScholiaQ102304994MaRDI QIDQ377784

List of research outcomes





PublicationDate of PublicationType
Gaussian Volterra processes as models of electricity markets2024-12-04Paper
Gaussian Volterra processes as models of electricity markets2023-11-15Paper
Optimal Cross-Border Electricity Trading2022-03-18Paper
Optimal installation of renewable electricity sources: the case of Italy2022-01-06Paper
Investing in electricity production under a reliability options scheme2021-11-16Paper
Optimal management of pumped hydroelectric production with state constrained optimal control2021-11-16Paper
Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem2021-09-01Paper
On the singular control of exchange rates2021-01-06Paper
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications2020-04-30Paper
Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions2019-09-09Paper
Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework2019-08-30Paper
Super-replication price: it can be ok2019-01-29Paper
Utility indifference pricing and hedging for structured contracts in energy markets2017-08-11Paper
Robustness of shortfall risk minimising strategies in the binomial model2017-01-25Paper
Portfolio optimization in a defaultable Lévy-driven market model2015-08-03Paper
Pricing vulnerable claims in a Lévy-driven model2015-02-06Paper
Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem2015-01-20Paper
Optimal Portfolio in a Regime-switching Model2014-02-19Paper
Calibration of a multifactor model for the forward markets of several commodities2014-02-07Paper
Robustness for path-dependent volatility models2013-11-07Paper
FINANCIAL MODELS WITH DEPENDENCE ON THE PAST: A SURVEY2012-01-01Paper
Optimal prepayment and default rules for mortgage-backed securities2010-04-26Paper
https://portal.mardi4nfdi.de/entity/Q35093542008-07-01Paper
Shortfall risk minimising strategies in the binomial model: characterisation and convergence2007-01-05Paper
https://portal.mardi4nfdi.de/entity/Q56992222006-09-27Paper
https://portal.mardi4nfdi.de/entity/Q44213752004-01-25Paper
Superreplication of European multiasset derivatives with bounded stochastic volatility2003-07-16Paper
https://portal.mardi4nfdi.de/entity/Q44213802002-01-01Paper
Explicit solutions for shortfall risk minimization in multinomial models.2002-01-01Paper
https://portal.mardi4nfdi.de/entity/Q27410912001-09-09Paper
Robustness of the Black-Scholes approach in the case of options on several assets2001-03-01Paper
Invariant measures for the Musiela equation with deterministic diffusion term2000-05-24Paper

Research outcomes over time

This page was built for person: Tiziano Vargiolu