Tiziano Vargiolu

Available identifiers

zbMath Open vargiolu.tizianoWikidataQ102304994 ScholiaQ102304994MaRDI QIDQ377784

List of research outcomes

Publication	Date of Publication	Type
Gaussian Volterra processes as models of electricity markets	2023-11-15	Paper
Optimal Cross-Border Electricity Trading	2022-03-18	Paper
Optimal installation of renewable electricity sources: the case of Italy	2022-01-06	Paper
Optimal management of pumped hydroelectric production with state constrained optimal control	2021-11-16	Paper
Investing in electricity production under a reliability options scheme	2021-11-16	Paper
Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem	2021-09-01	Paper
On the singular control of exchange rates	2021-01-06	Paper
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications	2020-04-30	Paper
Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions	2019-09-09	Paper
Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework	2019-08-30	Paper
Super-replication price: it can be ok	2019-01-29	Paper
Utility indifference pricing and hedging for structured contracts in energy markets	2017-08-11	Paper
Robustness of shortfall risk minimising strategies in the binomial model	2017-01-25	Paper
Portfolio optimization in a defaultable Lévy-driven market model	2015-08-03	Paper
Pricing vulnerable claims in a Lévy-driven model	2015-02-06	Paper
Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem	2015-01-20	Paper
Optimal Portfolio in a Regime-switching Model	2014-02-19	Paper
Calibration of a multifactor model for the forward markets of several commodities	2014-02-07	Paper
Robustness for path-dependent volatility models	2013-11-07	Paper
FINANCIAL MODELS WITH DEPENDENCE ON THE PAST: A SURVEY	2012-01-01	Paper
Optimal prepayment and default rules for mortgage-backed securities	2010-04-26	Paper
https://portal.mardi4nfdi.de/entity/Q3509354	2008-07-01	Paper
Shortfall risk minimising strategies in the binomial model: characterisation and convergence	2007-01-05	Paper
https://portal.mardi4nfdi.de/entity/Q5699222	2006-09-27	Paper
https://portal.mardi4nfdi.de/entity/Q4421375	2004-01-25	Paper
Superreplication of European multiasset derivatives with bounded stochastic volatility	2003-07-16	Paper
Explicit solutions for shortfall risk minimization in multinomial models.	2002-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q4421380	2002-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q2741091	2001-09-09	Paper
Robustness of the Black-Scholes approach in the case of options on several assets	2001-03-01	Paper
Invariant measures for the Musiela equation with deterministic diffusion term	2000-05-24	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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MaRDI profile type	MaRDI person profile
instance of	human

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