Tiziano Vargiolu

Publication Activity (10 Years)

Years Active: 1999-2024
Publications (10 Years): 7

Top Topics

Investment Decisions

Stochastic Control

Mathematical Methods

Top Venues

Ann. Oper. Res.

SIAM J. Financial Math.

Finance Stochastics

Publications

Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu
Recent advances in mathematical methods for finance. Ann. Oper. Res. 336 (1-2) (2024)
Álvaro Cartea, Maria Flora, Tiziano Vargiolu, Georgi Slavov
Optimal Cross-Border Electricity Trading. SIAM J. Financial Math. 13 (1) (2022)
Torben Koch, Tiziano Vargiolu
Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem. SIAM J. Control. Optim. 59 (4) (2021)
Giorgio Ferrari, Tiziano Vargiolu
On the singular control of exchange rates. Ann. Oper. Res. 292 (2) (2020)
René Aïd, Matteo Basei, Giorgia Callegaro, Luciano Campi, Tiziano Vargiolu
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications. Math. Oper. Res. 45 (1) (2020)
Maria Flora, Tiziano Vargiolu
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) (2020)
Giorgia Callegaro, Luciano Campi, Valeria Giusto, Tiziano Vargiolu
Utility indifference pricing and hedging for structured contracts in energy markets. Math. Methods Oper. Res. 85 (2) (2017)
Stefano Pagliarani, Tiziano Vargiolu
Portfolio optimization in a defaultable Lévy-driven market model. OR Spectr. 37 (3) (2015)
Matteo Basei, Annalisa Cesaroni, Tiziano Vargiolu
Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem. SIAM J. Financial Math. 5 (1) (2014)
Agostino Capponi, Stefano Pagliarani, Tiziano Vargiolu
Pricing vulnerable claims in a Lévy-driven model. Finance Stochastics 18 (4) (2014)
Gino Favero, Tiziano Vargiolu
Shortfall risk minimising strategies in the binomial model: characterisation and convergence. Math. Methods Oper. Res. 64 (2) (2006)
Fausto Gozzi, Tiziano Vargiolu
Superreplication of European multiasset derivatives with bounded stochastic volatility. Math. Methods Oper. Res. 55 (1) (2002)
Silvia Romagnoli, Tiziano Vargiolu
Robustness of the Black-Scholes approach in the case of options on several assets. Finance Stochastics 4 (3) (2000)
Tiziano Vargiolu
Invariant measures for the Musiela equation with deterministic diffusion term. Finance Stochastics 3 (4) (1999)