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Tiziano Vargiolu
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2020 – today
- 2024
- [j15]Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu:
Recent advances in mathematical methods for finance. Ann. Oper. Res. 336(1-2): 1-2 (2024) - [j14]Yuliya Mishura, Stefania Ottaviano, Tiziano Vargiolu:
Gaussian Volterra Processes as Models of Electricity Markets. SIAM J. Financial Math. 15(4): 989-1019 (2024) - 2022
- [j13]Álvaro Cartea
, Maria Flora
Optimal Cross-Border Electricity Trading. SIAM J. Financial Math. 13(1): 262-294 (2022) - 2021
- [j12]Torben Koch
Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem. SIAM J. Control. Optim. 59(4): 3068-3095 (2021) - 2020
- [j11]Giorgio Ferrari
On the singular control of exchange rates. Ann. Oper. Res. 292(2): 795-832 (2020) - [j10]Maria Flora
Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions. Eur. J. Oper. Res. 280(1): 383-394 (2020) - [j9]René Aïd, Matteo Basei
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications. Math. Oper. Res. 45(1): 205-232 (2020)
2010 – 2019
- 2017
- [j8]Giorgia Callegaro
Utility indifference pricing and hedging for structured contracts in energy markets. Math. Methods Oper. Res. 85(2): 265-303 (2017) - 2015
- [j7]Stefano Pagliarani
Portfolio optimization in a defaultable Lévy-driven market model. OR Spectr. 37(3): 617-654 (2015) - 2014
- [j6]Agostino Capponi, Stefano Pagliarani
Pricing vulnerable claims in a Lévy-driven model. Finance Stochastics 18(4): 755-789 (2014) - [j5]Matteo Basei, Annalisa Cesaroni
Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem. SIAM J. Financial Math. 5(1): 581-608 (2014)
2000 – 2009
- 2006
- [j4]Gino Favero, Tiziano Vargiolu:
Shortfall risk minimising strategies in the binomial model: characterisation and convergence. Math. Methods Oper. Res. 64(2): 237-253 (2006) - 2002
- [j3]Fausto Gozzi, Tiziano Vargiolu:
Superreplication of European multiasset derivatives with bounded stochastic volatility. Math. Methods Oper. Res. 55(1): 69-91 (2002) - 2000
- [j2]Silvia Romagnoli, Tiziano Vargiolu:
Robustness of the Black-Scholes approach in the case of options on several assets. Finance Stochastics 4(3): 325-341 (2000)
1990 – 1999
- 1999
- [j1]Tiziano Vargiolu:
Invariant measures for the Musiela equation with deterministic diffusion term. Finance Stochastics 3(4): 483-492 (1999)
Coauthor Index
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