Tiziano Vargiolu

According to our database, Tiziano Vargiolu authored at least 14 papers between 1999 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

Recent advances in mathematical methods for finance.

Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu

Ann. Oper. Res., May, 2024

2022

Optimal Cross-Border Electricity Trading.

Álvaro Cartea, Maria Flora, Tiziano Vargiolu, Georgi Slavov

SIAM J. Financial Math., 2022

2021

Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem.

Torben Koch, Tiziano Vargiolu

SIAM J. Control. Optim., 2021

2020

Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications.

René Aïd, Matteo Basei, Giorgia Callegaro, Luciano Campi, Tiziano Vargiolu

Math. Oper. Res., 2020

Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions.

Maria Flora, Tiziano Vargiolu

Eur. J. Oper. Res., 2020

On the singular control of exchange rates.

Giorgio Ferrari, Tiziano Vargiolu

Ann. Oper. Res., 2020

2017

Utility indifference pricing and hedging for structured contracts in energy markets.

Giorgia Callegaro, Luciano Campi, Valeria Giusto, Tiziano Vargiolu

Math. Methods Oper. Res., 2017

2015

Portfolio optimization in a defaultable Lévy-driven market model.

Stefano Pagliarani, Tiziano Vargiolu

OR Spectr., 2015

2014

Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem.

Matteo Basei, Annalisa Cesaroni, Tiziano Vargiolu

SIAM J. Financial Math., 2014

Pricing vulnerable claims in a Lévy-driven model.

Agostino Capponi, Stefano Pagliarani, Tiziano Vargiolu

Finance Stochastics, 2014

2006

Shortfall risk minimising strategies in the binomial model: characterisation and convergence.

Gino Favero, Tiziano Vargiolu

Math. Methods Oper. Res., 2006

2002

Superreplication of European multiasset derivatives with bounded stochastic volatility.

Fausto Gozzi, Tiziano Vargiolu

Math. Methods Oper. Res., 2002

2000

Robustness of the Black-Scholes approach in the case of options on several assets.

Silvia Romagnoli, Tiziano Vargiolu

Finance Stochastics, 2000

1999

Invariant measures for the Musiela equation with deterministic diffusion term.

Tiziano Vargiolu

Finance Stochastics, 1999