← All authors Tiziano Vargiolu University of Padua (from arXiv:2002.00507, 2020) · ORCID · OpenAlex
35 papers in scope · 35 published · 1 on the econ.EM arXiv · 389 citations · h-index 13 (over the papers listed here)
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Papers (1 of 35)
Foreword to the Special Issue on Energy Finance and Climate Change
published 2024 · Applied Stochastic Models in Business and Industry
with Roberto Baviera, Carlo Sgarra, Rituparna Sen
Gaussian Volterra Processes as Models of Electricity Markets
published 2024 · SIAM Journal on Financial Mathematics · 3 citations · first circulated 2023
with Yuliya Mishura, Stefania Ottaviano
Recent advances in mathematical methods for finance
published 2024 · Annals of Operations Research · 1 citations
with Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier
Optimal Cross-Border Electricity Trading
published 2022 · SIAM Journal on Financial Mathematics · 6 citations · first circulated 2019
with Álvaro Cartea, Maria Flora, Georgi Slavov
Optimal installation of renewable electricity sources: the case of Italy
published 2021 · Decisions in Economics and Finance · 2 citations
with Almendra Awerkin
published 2021 · The Journal of Energy Markets · first circulated 2020
Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem
published 2021 · 10 citations · first circulated 2019
with T. L. Koch
Capturing the power options smile by an additive two-factor model for overlapping futures prices
published 2020 · Energy Economics · 13 citations · first circulated 2019
with Marco Piccirilli, Maren Diane Schmeck
Investing in electricity production under a reliability options scheme
published 2020 · Journal of Economic Dynamics and Control · 16 citations · first circulated 2019
with Fulvio Fontini, Dimitrios Zormpas
Optimal management of pumped hydroelectric production with state constrained optimal control
published 2020 · Journal of Economic Dynamics and Control · first circulated 2019
with Athena Picarelli
Variables Reduction in Sequential Resource Allocation Problems
published 2020 · Applied System Innovation
with Juri Hinz
Pricing reliability options under different electricity price regimes
published 2020 · Energy Economics · 37 citations · first circulated 2019
with Luisa Andreis, Maria Flora, Fulvio Fontini
On the singular control of exchange rates
published 2019 · Annals of Operations Research · 10 citations
with Giorgio Ferrari
Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions
published 2019 · European Journal of Operational Research · 49 citations
with Maria Flora
Special Issue on Energy Markets Dynamics in a Changing Environment
published 2019 · Energy Economics
with Rita L. D’Ecclesia
Mean-reverting additive energy forward curves in a Heath–Jarrow–Morton framework
published 2019 · Mathematics and Financial Economics · 30 citations · first circulated 2017
Mean-reverting no-arbitrage additive models for forward curves in energy markets
published 2018 · Energy Economics · 28 citations
with Luca Latini, Marco Piccirilli
Super-replication price: it can be ok
published 2018 · ESAIM Proceedings and Surveys · 9 citations
with Laurence Carassus
Optimal intraday power trading with a Gaussian additive process
published 2017 · The Journal of Energy Markets · 7 citations
with Enrico Edoli, Marco Gallana
Portfolio optimization in a defaultable Lévy-driven market model
published 2014 · OR Spectrum · 3 citations
with Stefano Pagliarani
Pricing vulnerable claims in a Lévy-driven model
published 2014 · Finance and Stochastics · 16 citations · first circulated 2012
Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem
published 2014 · SIAM Journal on Financial Mathematics · 16 citations · first circulated 2013
with Matteo Basei, Annalisa Cesaroni
Calibration of a multifactor model for the forward markets of several commodities
published 2013 · 7 citations
with Enrico Edoli, Davide Tasinato
Robustness for path-dependent volatility models
published 2012 · Decisions in Economics and Finance · 1 citations
with Mauro Rosestolato, Giovanna Villani
Modeling and valuing make-up clauses in gas swing contracts
published 2012 · Energy Economics · 17 citations
with Enrico Edoli, Stefano Fiorenzani, Samuele Ravelli
Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes
published 2010 · Economic Notes · 11 citations
with Laura Pasin
Optimal prepayment and default rules for mortgage-backed securities
published 2009 · Decisions in Economics and Finance · 4 citations
with Giulia De Rossi
Optimal portfolio for HARA utility functions in a pure jump multidimensional incomplete market
published 2008 · International Journal of Risk Assessment and Management · 16 citations
with Giorgia Callegaro
Robustness of shortfall risk minimising strategies in the binomial model
published 2003 · PAMM · 1 citations
with G. Favero
Explicit solutions for shortfall risk minimization in multinomial models
published 2002 · Decisions in Economics and Finance · 8 citations
with Caterina Scagnellato
Superreplication of European multiasset derivatives with bounded stochastic volatility
published 2002 · Mathematical Methods of Operations Research · 13 citations
with Fausto Gozzi
Optimal default boundary in a discrete time setting
published 2001 · Mathematical Finance · 2 citations
with Agata Altieri
Robustness of the Black-Scholes approach in the case of options on several assets
published 2000 · Finance and Stochastics · 24 citations
with Silvia Romagnoli
Calibration of the Gaussian Musiela model using the Karhunen-Loeve expansion
published 2000 · Nature · 3 citations
Invariant measures for the Musiela equation with deterministic diffusion term
published 1999 · Finance and Stochastics · 26 citations
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